I had the same problem, I did the following steps to solve it
All you need to do is enter to the JSON settings file from VSC
1. Press F1
2. Type User Settings
3. Search for Proxy
4. In proxy section, look for the title `Http: Proxy Authorization`
5. Click on 'Edit in settings.json'
6. Delete all brackets containing proxy data
7. Save JSON file
After that, just restart VSC
You can also find the JSON in %appdata%/Code/User/settings.json