$SHELL environment variable only indicates the default shell that is set for the active user.

So echo $SHELL does not necessarily reflect the shell running in your current terminal session. Which means you can start other shell and that will not update $SHELL environment variable, which reflects only default shell for your user. It could be modified explicitly if you want to do so.

Regardless on that, to check what is your current active shell in terminal session, type:

echo $0

or eventually

ps -p $$

You also have to have right shells installed and supported which you can check with:

cat /etc/shells

Regarding vscode, it should be enough to set "terminal.integrated.defaultProfile.linux": "bash" in the settings.json, but make sure you exit and start the integrated terminal again after the change is applied.