CONFIG_SH_KGDB_CONSOLE is not available for thedefaultarchitecture x86.
Result is shown for architecture sh
default or selected kernelversion does not have config value CONFIG_SH_KGDB_CONSOLE.
Result is shown for kernelversion 5.4.123

Console messages through GDB

configname: CONFIG_SH_KGDB_CONSOLE

Linux Kernel Configuration
└─>Kernel hacking
└─>KGDB configuration options
└─>Console messages through GDB
In linux kernel since version 2.6.12  
depends
CONFIG_KGDB