I understand that you are trying to exclude the Visual Studio Code application from Conditional Access but are unable to find it listed among the Cloud Apps.
Could you please confirm the type of application you registered in your tenant?
You are not able to apply Conditional Access policies to client (public/native) applications., You can include the applications listed below in your policy.
Hope this helps. Do let us know if you any further queries.
Thanks,
Navya.
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