On julia-vscode v1.0.8 and earlier, as long as I uncheck "Use Plot Pane" in configuration, julia-vscode works well with PyPlot. The plot window will show up as an independent window, just like when running Julia from a command line window.
After upgrading to julia-vscode v1.0.10, PyPlot cannot show its window anymore, and there is no error or warning message (everything else works as before). Downgrading to julia-vscode v1.0.08 and PyPlot works again.
This is on Julia v1.5.3, Windows 10 64-bit. Repeatable on 2 separate PCs.
Not sure if it's relevant or not, but on all my PCs I have added MKL.jl so Julia is running MKL instead of OpenBLAS. I did make sure the Python version PyCall uses has standard numpy and matplotlib (i.e. not linked with MKL) so matplotlib does not crash due to MKL conflict.