@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.

Yes, that is very helpful. The <COMMAND> error is coming from a line that calls "Do <debug_target>", which in this case is "##class(prosthetic.ProstheticResourceTest).RunTests()". Does running "Set a = "##class(prosthetic.ProstheticResourceTest).RunTests()" Do @a" work from the terminal in that namespace or do you see the same <COMMAND>?

@Daniel Goerke 
What learning course/training steps are you following? Do you mean to be creating CSP files? CSP files need to be stored inside a web application so they can be served by the web server. They can't be created as standalone files without that context. Therefore, you need to have the CSP file in folders that tell VS Code what web application it goes it. For example, if you want to create mypage.csp in web application /csp/user, the path to the file inside your local workspace should be something like src/csp/user/mypage.csp. You may also find it easier to edit web application files directly on your IRIS server using server-side editing.

Thanks for your feedback! In response, I've submitted Pull Request #1311 which removes the comment-continuation feature for ObjectScript comments (it's still enabled for class description /// comments). It also adds auto-closing of C-style block comments (e.g. typing /* automatically adds */ after the cursor). You can try this out by downloading and installing the latest beta version of the vscode-objectscript extension from GitHub, which can be found here.