I've been using VS Code lately, since Atom is being killed off. I also switch to using ZSH with OhMyZsh a while back. I had noticed that while using the integrated terminal in VS Code, all of my nice status icons were showing as empty boxes, indicating that the font didn't have symbol support compiled in.
I found this post for fixing the problem on OSX, and was able to adapt it to my needs.
- Press Ctrl + Shift + P and choose Preferences: Open User Settings (JSON)
- Add these lines (in my case) to your config: