The only GDB commands which are supported are those which rely on accessing registers and memory. rsp-proxy will attempt to give meaningful response to other packets as far as is possible. For example step or continue packets will respond as though the program has immediately halted at a breakpoint without the program counter changing.
This means that stepi and continue commands work fine, but step and next will hang, as the GDB client keeps stepping the target, looking for the program counter to advance.
It is possible for clients to detach from the target (using the detach command) and then reattach using a new target remote command.