How do I connect VSCode to my VM?

On your dashboard, at https://exe.dev/, there are links to open in VSCode. This leverages VSCode's SSH remote features. The link is of the form:

vscode://vscode-remote/ssh-remote+<vmname>.exe.xyz/home/exedev?windowId=_blank

The /home/exedev in that URL is the path on the filesystem for VSCode to consider as your workspace.