The ESP IDF I got working. Installed it using the visual studio code plugin (Windows) and I was able to build one of the example projects and flash it.
I am using an official Espressif dev board, an Espressif JTAG adapter and I have not been able to get it working. And it seems I am not the only one.
Even a simple command line approach (start openOCD then start GDB) did not work. Open OCD detects the device, so JTAG works and there it ends.
Behaviour seems unpredictable. It looks to me that the open OCD and GDB from Espressif do not match, or are still very buggy. I could not find anyone confirming this, neither denying it. So far when asking around I only hear people having trouble using the JTAG with ESP, but could not find anyone who confirm it works. (except some Linux users maybe)