I don't think that answer was completely right. I didn't get any PGA gain until I DID assign the positive and negative input pins for the PGA. And after that you have to go to the ADC_LDD component and reassign the ADC inputs from the input pins to the PGA outputs PGAxDP and PGAxDM. PEx did not change them automatically.
I implemented this on the TWR-K20D72M board where the microphone is the ADC1_DP0 input and the potentiometer is the ADC1_DM0 input. This allows you to adjust the pot to remove the 0.7V DC bias from the microphone output, which makes a very sensitive audio pickup.