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Select Yes. Choose OK and Finish to exit. While you're in the command line, look for the Pi's username — the green text before the @ symbol. You'll use this to connect to Raspberry Pi via SSH later.
Thankfully, there are ways to manage the Raspberry Pi remotely without disassembling your project. This is where SSH comes in. SSH stands for Secure Shell.
If you use a Raspberry Pi for DIY projects, you can connect it to a monitor. The only exceptions are the Raspberry Pi Zero and Zero 2 W. That's great if you're setting up a one-and-done project.
You can run VS Code on Windows, macOS, and of course on a Raspberry Pi. One of the extensions that helps here is the Remote SSH extension, part of a pack of remote development extensions.