It appears that because the pathname has commas, that it is not correctly being linked to in my project.
I have set it up in the .vscode/settings json:
{
...
"lime.executable": "C:/HaxeToolkit/haxe/lib/lime/7,5,0/templates/bin/lime"
}
and I get this error:

Notice that the path gets cut off at the comma?
Temporary solution:
I just put the lime executable in my environment, but that's not what I wanted to do.
I suppose I could move the executable out of that folder? Not sure.