By the way! I found it out by pure coincidence. There are two different “build” tasks in VSCode. One is a normal build and the other is an EditorBuild. When you select the latter it compiles additional “.dlls” which trigger Unreal’s hot reload. For anyone wondering. However, I also have a colleague which can compile fine by just using the normal “build” task.
tl;dr For anyone having the same issue, compile using "Editor Build ".