After many posts and many helps from this forum I can use Atmel-ICE to debug Blink Example with Visual Studio on the board MKRWiFi1010.

Now I try to use another example: EthernetHTPS, I can compile this file with Arduino IDE without errors.

I try to import: Visual Studio - Continue without code - Extensions - vMicro - Open Existing Arduino Project - I select the same code I compiled wit Arduino IDE

When I try Debug - Compile there is an error: 

Error linking for board Arduino MKR WiFi 1010
Build failed for project 'EthernetHTTPS2'
 
SSLClient.cpp.o: In function __gnu_cxx::new_allocator<SSLSession>::allocate(unsigned int, void const*)
new_allocator.h:102: undefined reference to std  __throw_bad_alloc()
 
collect2.exe*: error: ld returned 1 exit status

Here attached the output from Arduino IDE and Visual Studio

Thanks for your help
Livio