For detailed problems, see https://notulensiku.com/2019/02/fix-integrated-terminal-font-vscode/

To solve on mac, you need to install powerline fonts

# clone
git clone https://github.com/powerline/fonts.git --depth=1
# install
cd fonts
./install.sh
# clean-up a bit
cd ..
rm -rf fonts

Go to file -> Preference -> Settings on your Visual Studio Code
Search for fontfam
Set font family to Source Code Pro for Powerline