Well, not quite a solution, but apparently Stan.jl (based on StanSample.jl, StanOptimize.jl, etc.) works fine in VSCode on Windows.
I need to check where/why CmdStan.jl is not handling above problem correctly. The cmd /c part had been added some time ago but maybe there is a path where this is not done right.
CmdStan.jl is in maintenance mode, so it’s not a top priority on my list of things to fix in the combination CmdStan + VSCode + Julia REPL given that Stan.jl is working in that setting.
As always, from all issues you take something away. In this case I took another look at VSCode and, compared to a year ago when I wanted to step away from TextMate and in the end opted for Sublime Text, this time around liked it quite a bit.
Thanks for the great help on this issue!