I have the same issue that VSCode cannot pick up the my .editorconfig config for my SQL scripts.

Turns out I missed the * character to wildcard all SQL files in my directory.

Here is an example of my .editorconfig file.

# EditorConfig is awesome: https://EditorConfig.org

# top-most EditorConfig file
root = true

[*]
end_of_line = lf
insert_final_newline = true

# Indentation override for all SQL files
# make sure you add the * to wildcard all your files.
[*.sql]
indent_style = space
indent_size = 2

Hope it helps.