IRIS doesn't bundle its own ssh server. Unless your host platform offers ssh (not common on Windows) there'll be nothing for your ssh client to connect to.

For IRIS on Windows you have the option of enabling the %Service_Telnet service and connecting using telnet rather than ssh. You can optionally add extra security to this by configuring it to use TLS.

But as you're talking about localhost why not simply launch Terminal off your IRIS launcher in you Windows System Tray?

Are you connecting successfully to other servers and only having problems with this one?

In the Security section of InterSystems Portal on this server, does the profile of the 'therock' user show any login failure coinciding with your failed attempt to connect from VS Code?

Your reference to having pulled existing connections leads me to think you installed the InterSystems Server Manager extension. Are you able to expand the Namespaces subfolder of this server in the Server Manager tree?