The "some workloads" also apply for that. I don't know about DirectX, but the other ones might be doable as long as you create the project once in VS and then (for MFC and ATL) hand edit the normally tool-generated partial classes. For UWP, you'd have to hand wrangle the XAML. You'd then invoke MSBuild for building. AFAIK there's nothing super special about MFC and ATL that would make debugging impossible, but it's true I've never tried it in VS Code.