It’a a bug. Filed for MacOS (but applies to me too on Linux, and I suppose Windows): Julia processes not terminated when VS Code is closed · Issue #1850 · julia-vscode/julia-vscode · GitHub
Note with Atom cleanup happens as I find appropriate.
What happens is that you start VSCode and get a julia process as you would expect, then I open a terminal and you get another one. The former julia process isn’t cleaned up on exit.