Despite everything is set to Debug (see screenshot), using a BluePill-BMP to debug another BluePill board, the sketch is just uploaded but a breakpoint is not hit.
What is going wrong?

In order to flash I have to set Boot0 to 1. Afterwards to run the sketch Boot0=0.
The Blink program runs after resetting.

Breakpoint is not hit.
Micro Build log in following message.

Thanks, can you also enable the below options and re-send?

vMicro > Compiler > Show Build Properties
vMicro > Compiler > Verbose

Any output when using the debugger is also very helpful.

After having added in the advanced configurations "HardwareSerial" to "Remote Transport" (maybe I had changed also something more) the propgram is uploaded and run with Boot0=0 permanently (no switching necessary anymore).
But the breakpoint is not hit.
In the Micro Build log there is the line
Temporary breakpoint 1 at 0x8002566: file 20.8.9\cores\maple\main.cpp, line 38.
Line 38 reads "setup();"
However, that file according to its date has not been changed for months. 
So, something seems to go wrong here.

Thanks for the information so far.

Boot Jumpers - I am not aware of a workaround for this at present (but may depend on bootloader), so you have to perform the upload, move the jumper, reset the board, then press Debug > Attach to Process

20.8.9\cores\maple\main.cpp, line 38.
This implies you are trying to debug the core itself, if this is the case the optimization should be set to None on the vMicro > Debug Menu.  This file hasn't changed for a long time as it is part of the STM core.

The Remote Transport will have no effect on Hardware debugging as this is a setting reserved for the vMicro Serial Debugger.

To help us understand all of the environmental settings involved here, can you please supply:
1) Attach the logs requested previously
2) Confirm which BMP Firmware you have loaded onto the Blue-Pill acting as an BMP
3) Confirm which Bootloader Firmware you are using on the target Blue-Pill

Simon, you have said:
"so you have to perform the upload, move the jumper, reset the board, then press Debug > Attach to Process"
Could you specify the jumper settings for upload and for debugging?

I think I have a BMP running on a Bluepill, afrer all.
I can use it from the GDB command line, and the target starts blinking.
But in vmicro it does not work.
Attached is a sreenshot with the error blink.exe not found.
This is the output from the Debug log.
=thread-group-added,id="i1"
GNU gdb (GNU Tools for ARM Embedded Processors) 7.6.0.20140228-cvs
Copyright (C) 2013 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>;
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.  Type "show copying"
and "show warranty" for details.
This GDB was configured as "--host=i686-w64-mingw32 --target=arm-none-eabi".
For bug reporting instructions, please see:
<http://www.gnu.org/software/gdb/bugs/>.
=cmd-param-changed,param="pagination",value="off"
Das Programm "" wurde mit Code 42 (0x2a) beendet.

(GDB) output (Vmicro built output attached. When I switch the Boot0 Jumper and attach, the .exe file not found error pops up): 
H:\blackmagic>arm-none-eabi-gdb J:\temp\arduino_build_982994\Blink.ino.elf
H:\dev_tools\gcc-arm-8\bin\arm-none-eabi-gdb.exe: warning: Couldn't determine a path for the index cache directory.
GNU gdb (GNU Tools for Arm Embedded Processors 9-2019-q4-major) 8.3.0.20190709-git
Copyright (C) 2019 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>;
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
Type "show copying" and "show warranty" for details.
This GDB was configured as "--host=i686-w64-mingw32 --target=arm-none-eabi".
Type "show configuration" for configuration details.
For bug reporting instructions, please see:
<http://www.gnu.org/software/gdb/bugs/>.
Find the GDB manual and other documentation resources online at:
    <http://www.gnu.org/software/gdb/documentation/>.

For help, type "help".
Type "apropos word" to search for commands related to "word"...
Reading symbols from J:\temp\arduino_build_982994\Blink.ino.elf...
(gdb) target extended-remote COM6
Remote debugging using COM6
(gdb) mon s
Target voltage: 1.97V
Available Targets:
No. Att Driver
1      STM32F1 (clone) medium density M3
(gdb) att 1
Attaching to program: J:\temp\arduino_build_982994\Blink.ino.elf, Remote target
0x1ffff3b6 in ?? ()
(gdb) att 2
A program is being debugged already.  Kill it? (y or n) n
Not killed.
(gdb) att 1
A program is being debugged already.  Kill it? (y or n) n
Not killed.
(gdb) load
Loading section .text, size 0x25b0 lma 0x8000000
Loading section .ARM.exidx, size 0x8 lma 0x80025b0
Loading section .data, size 0x830 lma 0x80025b8
Loading section .rodata, size 0x354 lma 0x8002de8
Start address 0x8000170, load size 12604
Transfer rate: 30 KB/sec, 840 bytes/write.
(gdb) b main
Breakpoint 1 at 0x8001da8: file M:\Arduino_Sketchbook\hardware\Arduino_STM32\STM32F1\cores\maple\main.cpp, line 38.
(gdb) continue
Continuing.
Note: automatically using hardware breakpoints for read-only addresses.

Breakpoint 1, main () at M:\Arduino_Sketchbook\hardware\Arduino_STM32\STM32F1\cores\maple\main.cpp:38
38          setup();
(gdb) continue
Continuing.

Program received signal SIGINT, Interrupt.
0x08001e76 in micros () at 8
58          do {
(gdb)

It worked. I had to used that core before (but meanwhile also did other installations like Mingw32). I have not tested yet with the Maple core that I would need.
Remark: One does not need to press Reset nor Attach to process after uploading. It smoothly runs through without that.
Question: Is there a SWO communications pin?
Other BMP compilations do have that, but so far I had no luck with SWO output....
This keeps me up for a week now... paid Vmicro since it stopped working.

Great! The LA shows output from the PB3 port, but where to connect that one to the BMP? When I connect to PA2 of the BMP, I see "raw" output on the BMP-UART interface port. But how to see the decoded output?