I did try VSCode remote running and debugging, but found it fiddly to work with and half-baked. Plus, I was sorely missing IntelliJ, so I quickly stopped trying it out - maybe I'd get used to it eventually, but it didn't seem worth the onboarding cost. The RDP and X410 solutions suggested in the replies to GP seem solid though.
VScode directly connects to WSL. You can open folders/files with 'code <folder>' from the WSL terminal, save, run whatever from VScode etc.
As for Docker, you can also use the GUI from within Windows that automatically connects to WSL but admittedly I almost never use the GUI.