I think for you need to try checking if gzip is installed, check documentation on how install VScode on your linux distro here is link "https://code.visualstudio.com/docs/setup/linux#_install-vs-code-on-linux". Did you tried doing just this line? "tar -xzvf ~/.vscode-server/bin/17baf841131aa23349f217ca7c570c76ee87b957/vscode-server.tar.gz"

'scp' used for copying to other remote machine or local machine its not recommend to download from web using scp, 'wget' used for downloading files from internet without needing browser it's main purpose of 'wget'.

you can stuck with that installation, that is works for you.