To be level with you, I have no idea how to integrate the gdbserver in NET + OS but is another way to obtain diagnostic messages through the network. On the project property you can choose: NET+OS and on the tab “Options” click bsp_sys.h and on the STDIO port choose UDP.
Now you can obtain your messages through UDP port (UDP port is presented in option UDP Debug port).
How do you define "debug". Are yo talking about single stepping, stepping into functions adn generally seeing source code or are you talking about just getting output from printf statements? If you are referring to the second, then pdiechtiarew's answer is quite on point. If you are talking about the first statement, then I do not believe there is anything supported. There is a serial debug capability, I believe it is documented, but not over tcp/ip.
You should look for udpdb.exe (if you install netos on drive C path will be: C:
etos75\bin) In this software you should type IP address your Digi Device as a parameter