"You are prompted with "Do you want to run software from this untrusted publisher?" Type R to run the file."
https://docs.microsoft.com/en-us/powershell/scripting/components/vscode/using-vscode?view=powershell-6#installing-the-powershell-extension-on-restricted-systems
Using "R" did not solve the allsigned problem. It started working properly after I ran the command and used "A" switch (Always Run), which then always trusts this MS certificate.
It was also said to use "Always run" by rjmholt in his last comment about this issue:
PowerShell/vscode-powershell#1048 (comment)