CONFIG_SH_KGDB is not available for thedefaultarchitecture x86.
Result is shown for architecture sh
default or selected kernelversion does not have config value CONFIG_SH_KGDB.
Result is shown for kernelversion 5.3.7

Include KGDB kernel debugger

configname: CONFIG_SH_KGDB

Linux Kernel Configuration
└─>Kernel hacking
└─>Include KGDB kernel debugger
In linux kernel since version 2.6.22 (release Date: 2007-07-08)  
Include in-kernel hooks for kgdb, the Linux kernel source level
debugger. See <http://kgdb.sourceforge.net/> for more information.
Unless you are intending to debug the kernel, say N here.