VSCode follow link not working in JS/SCSS files

I'm pretty sure it was working before somehow but now I can't get it right. Here's sample demo using VSCode in CodeSandbox - https://codesandbox.io/s/upbeat-hoover-jxpo9

I can CTRL + Click on linked JS file in HTML (it opens index.js file in new tab) but it does not work in JS files, it does not show underline or anything. Similar thing happens (not included in CodeSandbox demo) with SCSS files.

Thanks in advance.