Zephyr Workbench, a VSCode extension to manage Zephyr on STM32.
It enables users to easily create, develop, and debug Zephyr applications.
Main features:
Install host dependencies.
Import toolchain and SDK.
Create, configure, build and manage apps.
Debug STM32.
You can directly download it from the VSCode marketplace
For more details, visit the Zephyr Workbench
To me, it seems that the startup file (startup_stm32xxxxx.s) is missing from your project. Can you try to copy it from the folder generated by CubeMX (into Drivers\CMSIS\Device\ST\STM32Xxxx\Source\Templates\gcc) into your project.