Yes, you should be able to monitor all traffic that goes through the system proxy. 

Fiddler Everywhere sets the system proxy so all traffic that goes through the system proxy will be captured.

As we discussed in our private messages, we need to clarify how your VSCode project is making the requests. You are probably talking about a 3rd-party library that is making HTTP/HTTPS requests from some logic in your code. Please provide more information about how the request is made and what specific request is not being captured by the Fiddler Everywhere proxy to continue the investigation.

For reference, here is a basic example that utilizes the rest-client library. No additional proxy settings are set in VSCode - with Fiddler Everywhere started and capturing turned on, the library is successfully making HTTPS requests, and Fiddler Everywhere is capturing them.