VSCode opens single files outside of projects. What do they do? Personally I wouldn’t mind if it just defaulted to the settings of the last-used vault.

If you don't have a window open, then VSCode opens with no active workspace. There are no workspace settings at all, and there is no file tree. But since VSCode has user level settings, these are what is used, including theming/etc.

If you have a window open, the file is opened to the workspace for that window. You can see this in action because the "Trust" dialog specifically says that you're trying to open untrusted files into a trusted workspace.