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I recommend this extension. It works very well with both [[..]] and [[[...]]] links: https://github.com/svsool/vscode-memo#memo
Of course z:zettel style URI links won't work. I'm brainstorming on what to do about it. An extension to https://github.com/srid/neuron/issues/379
Unfortunately https://marketplace.visualstudio.com/items?itemName=tchayen.markdown-links doesn't work with [[[...]]] links