When I tried to install VS Code downloaded online on macOS 10.15 Catalina, it can't get through:
"Visual Studio Code” can’t be opened because Apple cannot check it for malicious software.
This software needs to be updated. Contact the developer for more information.
Safari downloaded this file today at 10:08 from az764295.vo.msecnd.net.
The only two options are "Show in Finder" and "OK".