You need to start Julia with a command line switch to enable more threads.
In the VScode Julia Extension settings, edit the “Julia: Num Threads” settings in settings.json. Mine is set to:
"julia.NumThreads": "auto",
This should select as many threads as possible, or you can manually enter a number. Then restart the REPL.
On my machine, this results in:
julia> Threads.nthreads()
20