Yes, I did got it working. But not entirely the way I want.
I really would like to have some more freedom in whether I want to connect to a GDB server that is already running or let VisualGDB start a new server.
I selected to connect via TCP/IP and it works. But VisualGDB still starts a new server which fails obviously. For now I just ignore this message.
When I start VisualGDB first and after that my own app, it connects to the server VisualGDB started.
But when I stop debugging the GDB server dissappears also, this breaks the data connection with my application 🙁 .