I got it working, great tool!
I do have some debugging issues though.
Your problem sounds like your esp32 isn't connected or in some locked state in which the debugger cant reset it.
If you reset the esp32 into the bootloader mode the device will be in a state that can be reset by your debugger.
Also you can
1. check your normal uart output
2. check if you correctly hooked up your debugger
3. check your openocd and gdb output (tabs in visual studio)
4. check your visualGDB debug settings
VisualGDB also has a helpful guide which helped me a lot.
http://visualgdb.com/tutorials/esp32/