To connect the server to vs code follow this steps
    Step1:
Click on this icon 

    Step2:
That icon will redirect you to the top where you select connect to host which redirects you to this

    Step3: click on add New SSh HOST

    Step4: Then type to login to any of the servers as shown below

    Step5: Then you click this

     Step6: Then you click on connect and then you good to go