I followed the same blog and tried to debug an application and it works perfectly fine with WICED SDK 3.5.0.
The error you are encountering might be because of error in GDB command. Go to debug configuration under Debugger tab and make sure that GDB path is correct. If not use the 'browse' button to edit it.
Hope this helps.
Where can we get WICED 3.5.0? We are looking for WPA Enterprise support, which I have heard is supported in that SDK.
(Sorry for hijacking the thread!)