Thanks for the answers.
I forgot to activate notifications, and meanwhile I've been tinkering with Visual Micro.
It seems the problem is solved, but I'm not sure why.
First I installed the Android development tools, according to this page :
https://www.visualmicro.com/category/GDB.aspx ; I found this page using Google. "Any visual micro project, with the android tools installed, can now run gdb debug". I didn't find this information anywhere else in the documentation.
(I don't know if it's needed, or GDB was already was installed by Visual Micro...)
And I also switched to the official core.
I was using the Roger's core (I prefer this one because some libraries I use don't compile and/or link with the ST Microelectronics core)
And it worked, with the usual debugging windows (variables and stack).
Is this correct ?
My STLink device id is 0x2ba01477 according to the log file.
Adding board.txt with this ID generates an error : GDB exit code 0x1
I deleted the newly created file, and the error dialog box didn't pop up again.
The hardware debugger seems to work fine with the official core only.
Do you confirm that Roger's Core is not supported ?