VSCode defaults to the codeserver_py39. However, that kernel is unable to even run notebook cells.

Running cells with 'Python 3.9.15 ('codeserver_py39': conda)' requires ipykernel package.
Run the following command to install 'ipykernel' into the Python environment. 
Command: 'conda install -n codeserver_py39 ipykernel --update-deps --force-reinstall'

Unfortunately changing the default does not appear to be possible: microsoft/vscode#130946

Thus, I suggest adding a installation of ipykernel for codeserver_py39 to the install/setup script (not sure which one).

Installing the sagemaker python sdk sagemaker would probably also be a good idea.