I'm not sure how I missed this in the screencast of the non-attach case, but GDB is just running in your Build window. Have you changed the Debug target for the project so it's just running that GDB? Our debug support won't pick that up. It doesn't watch the shell for GDB sessions to manipulate, it has to start GDB itself, partly because we need to run it in the machine interface mode, where the command line is different and exposes events, etc...
Doing the attach is the only way this is going to work. I need to work through the logs you sent, they are the logs of the attach you did. It does look like it's using the gdb in "C:\Program Files\SlickEdit Pro 24.0.1\win\gdb.exe", and not the ARM cross compiled version. So you might want to set the ARM gdb as your default temporarily, and see if that changes where you stand.
Just to make sure I'm not misunderstanding, when you attach, when you say it doesn't load the executable, does that mean it's not uploading the executable to the target? Or when you attach, the debug view acts like there's nothing going on, the buttons for pausing, continuing are greyed out? Or something else?