recently I have bougth a ESP32 devkit and a low budget FT4232H jtag adapter which I managed to setup in VSCode using the Espressif-idf plugin.
Basically it seems to work so far. I can build, flash and monitor the ESP32 from VSCode. Also also managed to setup the debug configuration, but I am still missing some features in while debugging.
I can step through the code, watch variables and see the call stack.

But I can't see periphals, registers or memory

I guess I have to set some more options in GDB, OpenOCd or even ESP32 config but I don't know which ones.
Any ideas were i have to dig?
You appear to be almost there.
I have a very similar interface with the memory loading afterwards but only after stepping into certain operations.
https://docs.espressif.com/projects/esp-idf/en/latest/esp32/api-guides/jtag-debugging/debugging-examples.html
Following this document produced by espressif. Memory can be accessed and stepped into using the keyboard shortcut (x) when using openOCD.
Give that a try.
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