Did you install the extension to VSCode?
File -> Preferences -> Extensions ---> Search for "AutoLisp"
Load the: "AutoCAD AutoLISP Extension"
I figured it out. You have to have a debug session running, i.e. F5. This is counterintuitive, as I just wanted to load the selected lisp, not the whole form, which F5 does.
It is not counterintuitive at all. VSCode is a totally different process, you need to instruct it to "attach to autocad's process" in order to send information to it (and get information back). Not sure if you've ever heard of the
client-server model for programs but that's what using VSCode is.
However, the fact that VSCode will send the entire files contents upon establishing the "connection" is annoying (what Kdub said earlier).
When I do this in POSIX C I use a named pipe [file], this is probably the same on Windows but I'd guess that when VSCode makes the connection it dumps the current files contents to the named pipe instead of just opening the pipe. This is a bit deep but I guess, I offer up the above gibberish to hopefully shed some light on what is happening in the background (10,000 foot overview).