Thanks to @yusuf-daglioglu, with that inside settings.json from VS Code we have a lightweight application side firewall that just works: https://github.com/microsoft/vscode/issues/52116#issuecomment-3324254163

VS Code Firewall

{
	//////////////////////////////////////
	// FIREWALL
	// via fake proxy.
	"http.proxy": "https://notexist11111111:9999",
	"http.noProxy": [
		// CHECK NETWORK REQUESTS MADE BY VSCODE AND EXTENSIONS:
		// Help -> Toogle developer tools -> network (tab)

		// FOR VSCODE ONLY.
		// https://code.visualstudio.com/docs/setup/network#_common-hostnames
		"update.code.visualstudio.com",
		"code.visualstudio.com",
		"go.microsoft.com",
		"marketplace.visualstudio.com",
		"*.gallery.vsassets.io",
		"*.gallerycdn.vsassets.io",
		"rink.hockeyapp.net",
		"bingsettingssearch.trafficmanager.net",
		"vscode.search.windows.net",
		"raw.githubusercontent.com",
		"vsmarketplacebadges.dev",
		"*.vscode-cdn.net",
		"vscode.download.prss.microsoft.com",
		"download.visualstudio.microsoft.com",
		"vscode-sync.trafficmanager.net",
		"vscode-sync-insiders.trafficmanager.net",
		"vscode.dev",
		"*.vscode-unpkg.net",
		"default.exp-tas.com",

		// You may need to enable for language-servers-protocols...
		// "localhost:*",
		// "127.0.0.1:*"

		// My whitelist
		"schemastore.org",
		"moonrepo.dev",
		"api.github.com",
		"https://www.gravatar.com/avatar/",
		"https://gitlab.com/gitlab-org/gitlab-foss"
	]
}