TL;DR: install this VSCode Extension to execute Snowflake queries directly from within Visual Studio Code: Snowflake (Public Preview) — Visual Studio Marketplace
Test 1: does it work with SSO (Single Sign-On):
Yes, it does. It even recognizes automatically that the account entered used SSO. In the Username field: enter your IDP user, normally this will be the e-mail adress instead of your “regular” Snowflake account.
Althougth the message that appears in the browser is a bit clunky, it does the job: