Synthetic targets are special in that the built tests and applications actually run as native applications on the host. This means that there is no target to connect to. The test or application can be run directly from the GDB console using:
(gdb) run |
or from Insight by pressing the Run icon. There is therefore no need to connect to the target or download the application, so you should ignore GDB “target” and “load” commands in any instructions found in other places in the documentation.