I think it just means inside your editor's terminal, where there's usually some modest integrations like it detecting a source/line reference and either jumping you there or at least making it clickable.

VSCode for sure does this.

GUD in Emacs (M-x gdb) is another example of this. You are still interacting with the gdb cli but also get some source code buffer integration.

Time travel to the UNIX world of early X Windows days.

Now picture XEmacs and Emacs, running gdb as subprocess, with a little pointed finger showing the current line and a stop sign for breakpoints.

The lower buffer shows the usual gdb repl and output.