This is caused by #include <Python.h> in ThirdParty libraries. Unreal Engine source code has a thirdparty Python3, in which there are Engine\Source\ThirdParty\Python3\Linux\include\Python.h and Engine\Source\ThirdParty\Python3\Win64\include\Python.h. VSCode intellisense will search for Python.h in lexicographical order, so Python.h under Linux directory is used, which further includes sys/time.h.