In case someone stumbles on this thread.
There is a bug in Cygwin's gdb (v11.x - v12.x) that prevents VS Code from stopping at breakpoints.
At the moment rolling back gdb to v9.x seems to solve the issue.
Currently, the gcc/g++ version is gcc (GCC) 11.4.0
the gdb version is GNU gdb (GDB) (Cygwin 9.2-1) 9.2
ref: https://github.com/microsoft/vscode-cpptools/issues/7994