Hi @Rob Brown,
I read your description. According to the screenshot, the value of the "SmartScreenAllowListDomains" policy is configured correctly. So according to this prompt, please first confirm one thing: whether your company has configured relevant policies to prohibit access to "code.visualstudio.com".
In addition, please note that if your organization has enabled Microsoft Defender for Endpoint, this policy and any allow list created with it will be ignored. You must configure your allow and block lists in Microsoft 365 Defender portal using Indicators (Settings > Endpoints > Indicators). You can refer to this link for more detailed information.
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Best regards,
Jinxin Wang