@David Marinkovic 
VS Code uses REST to connect to IRIS. If you're using a version without the private web server, you need to configure an external web server. This is needed for the management portal as well. Since you're on Windows, your installer probably configured IIS to serve web applications for IRIS. Documentation can be found here.

@Alin Soare You can't prevent that. The actual text of the class isn't stored in the database. During a save, it gets converted to a global that gets stored in the database, and then converted back into text. The class's text is always regenerated in "canonical" form, with excess spaces removed, capitalization normalized etc. This process doesn't affect method/query implementation code though, it's purely cosmetic.

@Richard Rayburn 
There isn't an equivalent to the Inspector's Storage editor in VS Code yet. That's on our roadmap but we don't have an ETA for it yet due to design challenges. You will have to edit the Storage block directly in the class's text. There is hover documentation and code completion support for Storage blocks in VS Code, which Studio did not have:

I hope you find this helpful.