A new version of the vscode-ocaml-platform was just released which fixes a few issues with ocamllsp. You’ll probably have to update your install of the Dune Developer Preview (just rerun the command on this page). You’ll need to configure a custom sandbox for vscode by putting this in your settings.json file as otherwise the plugin assumes you’re using opam to launch ocamllsp:
{
"ocaml.sandbox": {
"kind": "custom",
"template": "$prog $args"
}
}