So....what do I do?

[jomoengineer]

One thing to note, with the Visual Studio Linux cross compiler, the compile of the code happens on the remote system, such as the Raspberry Pi, rather than locally on the host system where VS is running. So, basically it will copy the code to the RasPi and then compile it there. I am not sure if VS Code will compile locally, but I am quite certain this can be down with Eclipse.

The other option is to use the GNU Windows Toolchain for Raspberry Pi and run it at command line. I'm not sure if this can be done in VS though. I suspect this is what VisualGDB is doing behind the scene though.
https://gnutoolchains.com/raspberry/tutorial/