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Is there a WSDL2Apex extension for Visual Studio Code, which would allow us to use a WSDL Url or file to generate Apex classes in our Visual Studio Code Salesforce DX project?
There is the existing SFDX plugin from Wade Wegner - wadewegner/sfdx-wsdl2apex-plugin. That will give you CLI level access to the Java implmentation for WSDL2Apex.
You could combine that with a custom Visual Studio Code extension to expose it in the command palette.