It was really interesting to read that debugging was working in Linux, while MacOSX support was being worked on. Support for Windows was completely missing.
Also because they are just using VSCode as a front end for GDB. GDB does not ship on OSX and you have to compile from scratch to install it. GDB also doesn't work with MSVC binaries so that explains the lack of Windows support.
gdb is available on mac without compiling using macports or downloading using brew. You do have to sign it yourself though as osx blocks debuggers from debugging without a signature. For windows debugging, we suggest using the community edition of Visual Studio (https://www.visualstudio.com/en-us/products/visual-studio-co...)