It does, but it's very poorly documented and quite unstable (on purpose i think). What the other commenter said about the VSCode BYOK seems to be the more reliable way.
I tried adding a Foundry LLM as Github Copilot custom model and failed miserably. But with VSCode BYOK (and Github Copilot as the interfact) i did get it working, and i can now use Deepseek V4 Flash with Copilot.
I don't think youre missing out necessarily. I would riot if i couldn't use Pycharm anymore, for big python projects just nothing beats it right now.
I do use VSCode too, but mostly for quick scripting or non-programming projects. and even then i installed a bunch of extensions to make it more like Pycharm.
I tried adding a Foundry LLM as Github Copilot custom model and failed miserably. But with VSCode BYOK (and Github Copilot as the interfact) i did get it working, and i can now use Deepseek V4 Flash with Copilot.