Just to put some context into the question (for which I don’t know the answer). The types of answers you can get are: 1) For the same reasons you have trouble finding the docs about the .., it is hard to implement that in an automatic docs-search, and that was not implemented yet. 2) It should work, but for some reason it is not working for you (in that case, it is a bug and should be reported as an issue in the VSCode or Julia for vscode extension repos).
Searching the docs for a syntax that is a sequence of any number of dots is obviously hard, maybe there is no ideal solution for that.
So probably you are not doing anything wrong, there isn’t such a feature for that particular syntax, probably. If it could exist is another problem.