If it's legally sound to do that, then it's legally sound to scrape code from Stack overflow as well. No special license is granted to GitHub to train CoPilot; the hosting license in the ToS[0] specifically doesn't allow its use outside of GitHub itself[1], so i'd argue that applies to running copilot in VSCode for code not destined for GitHub - and i'm sure MS's lawyers reviewed such a product launch.

0: https://docs.github.com/en/github/site-policy/github-terms-o...

1: > This license does not grant GitHub the right to .. otherwise distribute or use Your Content outside of our provision of the Service