The only support for debugging inside VS Code is GitHub - hackwaly/ocamlearlybird: OCaml debug adapter but sadly it is not being actively maintained (judging by the README it only supports 4.11 and 4.12). And in any case since it is an adaptor for ocamldebug it only supports bytecode.
Until better alternatives come along, I suggest you get used to the time-tested debugging technique practiced by OCaml experts and beginners alike with unsurpassed effectiveness: printf debugging.
Cheers,
Nicolas