We will see, if more people ask for this.
Yes, you are right. After copying the QR code information to vscode, it can be displayed correctly. Then, is there any official plan to use appropriate fonts to fix this problem?
It's rather due to the proportional font used in WinSCP.
You can right click the prompt to copy it to the clipboard and paste it e.g. to Windows Notepad.
I added 2FA verification in sshd and displayed a QR code. It worked well in PuTTY, but it displayed badly in WinSCP. I guess it might be a UTF8 problem.