Currently, I have found that I have to either start a new project with a C++ template or (if I already started with a blueprint template) create a new C++ Class in order for it to generate the code files and launch VSC. Either way, I believe, I may be back on track to continue with the course.
Did you create a blueprint project before, then? It can’t generate a VS Code project (or any other) if there’s no source code to generate the project files for.