I stumbled across the same issue here: "Run without debugging" runs debugger · Issue #1069 · julia-vscode/julia-vscode · GitHub
IIRC “Run without debugging” starts a new Julia instance, but in addition shows the debug controls which is kind of confusing. Plus, restarting Julia is not useful if you want to use Revise.jl for reduced package loading times.
I wonder if the default keybinding F5->“Julia Execute File” would make more sense.