Hi
Have you happened to see an option "Add toolchain path..."? if so, you can try to add by following the instructions.
From the MCUXpresso-SDK should these toolchain supported,
All driver examples and most application examples are provided with projects for the following toolchains:
If you try MCUXpresso Installer, then should a toolchain be installed.
Hope these references be helpful for you. Getting Started with MCUXpresso for Visual Studio Code | NXP Semiconductors
MCUXpresso extension configuration
Install Repository · nxp-mcuxpresso/vscode-for-mcux Wiki · GitHub
Regards
Harvey