How to Compile Different Sketches in Different Visual Studio Code Workspaces
The first time you verify your sketch you are confronted with a list of available sketches (INO's). As soon as you select one of these it gets stored under "sketch" in .vscode/arduino.json.
If you zero this, "", you'll once again be asked which sketch to set as "main sketch".

This "device context" is stored per workspace so you might consider narrowing your scope when opening a folder. I know this is no fun when exploring, and the will to switch and try different examples is big, but currently there are nothing that facilitates a smoother alternative.