Hi,
This could be a bug in the gdb, or some quirks of the build system that might be solvable with path substitutions, but you would need to understand what path format would work with the underlying debugger.
We would advise first getting a simple breakpoint to work by running gdb manually and experimenting with different path formats. Once this works, configuring VisualGDB to use the same path syntax should be straight-forward. If not, let us know the path format that works manually, and we will help you configure VisualGDB to use it.