This is the answer. For me I experience the same behavior since today. In the past this was different. Must have something to do with vscode updates or WLED build config changes. Nevertheless, pressing delete brings up all build options as in the past and every thing compiles fine. I would call this a bug in build system. At least the official description in WLED docs, doesn’t work for me as documented.
@ALDIY thank you for this easy workaround