VSCode has deprecated "Enable Telemetry" and now auto-enrolls you into their new Telemetry option even if you've disabled all the previous telemetry settings.
Screenshot https://imgur.com/a/nxvH8cW
The changes apply to the most recent version of vscode (version 1.61.0 released Oct 7).
If there's any confusion around this messaging it's because this discussion literally happened 2 days ago. I'll reopen https://github.com/microsoft/vscode/issues/134660 to make sure we clear up confusion.