I recommend checking out the CMake API docs in the docs folder of the repository, or the CMake example projects in examples/CMake, for more information.
The JuceHeader.h is generated by the build system (Projucer or CMake). If you’re using VS Code, then presumably you’re using CMake too, in which case you’ll need to use juce_generate_juce_header in order to correctly generate this header for your project.