I know next to nothing about Python and how it integrates with VS. But some googling shows that VS uses its own search path for Python modules instead of the one's Python uses. This is documented here.
It sounds to me like you need to go to your project in Solution Explorer and add a search path for the location(s) of your modules. It currently looks empty to me. Note that the docs say you can add the PYTHONPATH
which is what Python CLI is using to get the same behavior as the CLI.