I seem to recall that whilst the VSCode editor was proxied fine as a web app, trying to run it with the Python extension to edit notebook files and run them against the Jupyter server didn’t work.
This was some time though, and the VSCode Python extension has moved on somewhat since then. Unless it was a port issue (I’m not sure what security settings the Jupyter server that MyBinder starts up runs with?). That said, you can reach a MyBinder kernel from an arbitrary VS Code editor if you grab the MyBinder Jupyter server token, so that might provide a workaround if required?