Since updating to Visual Studio Code v. 1.78.2 this warning has been popping up. It is appearing because the folder I am working out of is using a UNC path. I rely on this path.
The VS help page states:
configure the host to be allowed via the
security.allowedUNCHostssetting (for example add server-a when you open a path such as \server-a\path)
Where is this setting?

Go to Settings
Ctrl + ,and search for 'allowedUNCHosts'. You'll find it under the Security section.Note "a restart is required when changing this setting"