Per, https://learn.microsoft.com/en-us/office/dev/scripts/develop/vscode-for-scripts?source=recommendations#connect-visual-studio-code-to-office-scripts, I should "Under the More options (…) menu, select Editor settings.", but I don't see the ellipse or "Editor Settings" anywhere.
What am I missing?
You are using ScriptLab. This is different from Office Scripts. Office Scripts are located under the Automate tab on the ribbon. You can see the differences here