Summarizing all answers.
This is a security measure to not load non-default C extensions.
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You can white-list specific extension(s).
Open user settings and add the following between {}:
"python.linting.pylintArgs": [ "--extension-pkg-whitelist=extensionname" // comma separated ]
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You can allow to “unsafe load” all extensions.
Open user settings and add the following between {}:
"python.linting.pylintArgs": [ "--unsafe-load-any-extension=y" ]