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There is an open issue on their repo, it seems the ms-vscode.cpptools extension which it depends on isn't open source so it can't be published on Open VSX (the marketplace used by OSS builds of VSCode) until they manage to use the open source alternative as a replacement llvm-vs-code-extensions.vscode-clangd
The code package is a FOSS build of VS Code, which has to use a different extension registry for legal reasons (it also doesn't contain any proprietary extensions). ms-vscode.cpptools is a proprietary extension from Microsoft, so the only way to install it is to sideload it via .vsix file like you did. But I'm still not sure if it works perfectly, Microsoft does prevent some of their proprietary extensions from being used in non-Microsoft builds.