VS Code use Jupyter Notebook behind proxy - amazon-web-services

Question

I referred to this question but I have a different question
Get VS Code Python extension to connect to Jupyter running on remote AWS EMR master node
Environment:
The Jupyter Notebook is on AWS EMR.
To access notebook from the browser using a SOCKS5 proxy. To do so, I have to connect to the VPN to work, SSH using PuTTY using .ppk file and Tunnel (Dynamic Port Forwarding).
To automate the step above, I am using PLink(Homepage | Docs | Download) : c:\stuff\plink.exe --ssh -i c:\stuff\file.ppk -D XXXX user-name#<some_IP_address
I can successfully enable proxy by using msedge.exe --proxy-server="socks5://<address>" or chrome.exe --proxy-server="socks5://<address>"
VS Code Version:
C:\Users\ablaze>code --version
1.55.2
3c4e3df9e89829dce27b7b5c24508306b151f30d
x64
Objective:
How can I access the remote Jupyter Notebook hosted on AWS EMR behind a proxy from Visual Studio Code?
I tried and failed:
Given Visual Studio Code is built on top of Electron and benefits from all the networking stack capabilities of Chromium.
I used Plink like above to SSH and then executed the following command on my windows command prompt: C:\Users\ablaze>code --proxy-server="socks5://<address>" --verbose
Error message:
[17668:0505/104410.116:WARNING:dns_config_service_win.cc(692)] Failed to read DnsConfig.
[main 2021-05-05T14:44:10.224Z] Starting VS Code
[main 2021-05-05T14:44:10.224Z] from: c:\Users\ablaze\AppData\Local\Programs\Microsoft VS Code\resources\app
[main 2021-05-05T14:44:10.224Z] args: {
_: [],
...
'no-proxy-server': false,
'proxy-server': 'socks5://localhost:8088',
...
logsPath: 'C:\\Users\\ablaze\\AppData\\Roaming\\Code\\logs\\20210505T104410'
}
...
[main 2021-05-05T14:44:10.258Z] windowsManager#open pathsToOpen [
{
backupPath: 'C:\\Users\\ablaze\\AppData\\Roaming\\Code\\Backups\\1620224957079',
remoteAuthority: undefined
}
]
To double check I also opened the log file C:\Users\ablaze\AppData\Roaming\Code\logs\20210505T104410\main.log
...
[2021-05-05 10:44:40.345] [main] [trace] update#checkForUpdates, state = idle
[2021-05-05 10:44:40.345] [main] [info] update#setState checking for updates
[2021-05-05 10:44:40.345] [main] [trace] RequestService#request https://update.code.visualstudio.com/api/update/win32-x64-user/stable/3c4e3df9e89829dce27b7b5c24508306b151f30d
[2021-05-05 10:44:40.346] [main] [trace] resolveShellEnv(): skipped (Windows)
[2021-05-05 10:44:44.354] [main] [error] Error: net::ERR_PROXY_CONNECTION_FAILED
at SimpleURLLoaderWrapper.<anonymous> (electron/js2c/browser_init.js:109:6508)
at SimpleURLLoaderWrapper.emit (events.js:315:20)
[2021-05-05 10:44:44.354] [main] [info] update#setState idle