I've downloaded Visual Studio Code from https://code.visualstudio.com but it says that it is downloaded from: http://az764295.vo.msecnd.net. Sorry (the popup is in czech) but Is it legit?
Translation: "Visual studio code" is downloaded from the internet Do you want to open it?

The Visual Studio Code web site lists common hostnames for auto-update. The site az764295.vo.msecnd.net is one of those listed:
https://code.visualstudio.com/docs/setup/network
I had an similar certificate issue that directed me to your question.
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