I guess they meant cancel to close the dialog box 
I don’t have it installed now so I cannot test it - but how you execute a script is not through VS code debugger. Instead you should have an option to run a task that says “run sketch”.
also in the screenshots, I noticed the file name is not valid. Like Processing IDE, you always need to match the folder name to the file name (projectname/projectname.pde). VS Code is a powerful tool (I use it for most of JS dev) but at the same time, it is very confusing, and sticking to Processing IDE is a good idea too. I would say VS Code is preferable when the code gets longer or if you have many tabs (that collapse in Processing IDE) - but for small projects, in my opinion, Processing IDE works fine too.