Unfortunately, the CLI2 is still stated as work in progress, but currently there is no progress.
There is parallel project:
https://forums.mbed.com/t/help-wanted-mbed-ce-a-community-fork-of-mbed-os
This has a much better integration into VSCode by using the cmake-tools. The setup is not difficult, there is a good description in the mbed-ce Wiki.
A good starting point is the hello world project in the same repository.