Hi again! To use Direct Methods, the approach is a bit different. When you set up the simulator, you get to select a device from your IoT Hub. (In VS Code, the command is "IoT Edge: Setup IoT Edge Simulator")
After that, when you then run your module, a module is added to your device in IoT hub. The module is called target
and you can run your direct methods on it. So you can either go to the portal, browse to your device, click on the module and send it a direct method. Or you can use az cli to do the same.