The OCaml vscode plugin seems to have already integrated a lot of new syntaxes (dune, menhir, reason), so if OxCaml gains traction it should only be a matter of time.
(can't really speak for that myself, though, I use emacs)
If you follow the installation instructions on oxcaml.org, you’ll get a patched Merlin with LSP support etc. It’s not perfect, but does mostly work out of the box with VSCode and the OCaml Platform extension.
Error squiggles and ocamlformat stopped working for me after the first time I restarted VS Code, compared to regular OCaml. They do work fine through the Dune CLI though.
Did you change the opam switch that vscode extension uses? It needs to be set to the oxcaml switch - you can do this via the "Ocaml: Select a Sandbox for this Workspace" command.
Yes I did, I'm used to working with opam, and when I first changed the switch it worked until I restarted VS Code. But since then I haven't managed to make it work again.
(can't really speak for that myself, though, I use emacs)