I tried to download the latest Code Insiders at work (the regular Code download scanned fine) and BitDefender said:
On-Access has detected a threat.Bitdefender has detected malicious behavior on file C:\Users##############\Downloads\VSCodeUserSetup-x64-1.40.0-insider.exe and identified it as Heur.BZC.NZF.Pantera.7.37C58EF0. No action taken. The file is to be handled further on by msedge.exe (C:\Program Files (x86)\Microsoft\Edge Dev\Application\msedge.exe).
Malware false positive detected