In fact it is supposed to work, at least it works on my PC (but I don’t use it very much, only to build Windows version of atoms packages with binaries…) :
In fact when you select the kernel (if you create a notebook from scratch) the Scilab kernel should appear as “Scilab” + the path of your Python interpreter :
In order to make notebooks with Scilab work within VSCode, likely, the Scilab extension must be installed. If the notebook does not run, you can, once for all, select the kernel as explained above.