Much of this came from the files at http://au.mathworks.com/matlabcentral/answers/125043-how-to-build-and-debug-matlab-mex-file-with-xcode-5-1-ide-on-os-x which don't ...
MaDe, Matlab Debugger for VS Code, is an Extension, which helps you to debug matlab-scripts in VS Code. Right now it only works on linux (maybe MACOS too). The Software is in early development, but ...