I’m trying to migrate the pizmidi to Visual Studio 2019, but there is a missing module juce_gui_audio. Where do I find this module and what does it do? Is it safe to remove the module?

The juce_gui_audio is no longer a juce’s module. The potential replacement module is the (not added by default) juce_audio_utils. That module include the MidiKeyboardComponent that is seen in the pizmidi github (at first sight).