Think of this as having access to two Pythons :
Python,
- installed on your PC,
- used by VSCode to do syntax checking and Debugging
- does not know about Pins and any pyboard specific modules
- if you run ▶ or Debug (F5) in VScode , it will attempt to run / debug your code on your PC ( which may fail )
MicroPython
- running on your board
- accessible though
Pymakr
- knows about the pins and the pyboard module
Pymakr gives you : 
- a connection from VScode to the MicroPython terminal
- a method to sync/upload/download files beetween your PC and the MCU board
- an ability to Upload and Run a .py file ( upload from PC to board , then run on the board )
- an ability to execute a few lines of code from your current file to the board (think of it as a copy & paste )I assign the F8 or ctrl-Shift-Enter hotkey to this
to improve things like syntax checking for MicroPython I have created a few tools to make make the `Big Python' act more like the Micro Python.
MicroPython Stubber
and has been packaged as micropy-cli by Braden for simple use
You can download and install the latest version of this software from the Python package index (PyPI) as follows:
pip install --upgrade micropy-cli
If applicable, you can test out a pre-release by executing:
pip install --upgrade --pre micropy-cli
After setup and a simple config the two pythons will get along much better.

You'll still need to be aware which of the two Pythons you are dealing with, but it should help you.