Does this tut still apply?
https://docs.microsoft.com/en-us/azure/synapse-analytics/spark/vscode-tool-synapse
I can't seem to get this to work following along at home.
I noticed that the tutorial says to use ms-python extension 2020.4.7. This version is a year old. I tried with 2020.4.7... as well as 2021.3.68.. which is the most recent. Neither one seems to work for me.