Error squiggles and ocamlformat stopped working for me after the first time I restarted VS Code, compared to regular OCaml. They do work fine through the Dune CLI though.
Did you change the opam switch that vscode extension uses? It needs to be set to the oxcaml switch - you can do this via the "Ocaml: Select a Sandbox for this Workspace" command.
Yes I did, I'm used to working with opam, and when I first changed the switch it worked until I restarted VS Code. But since then I haven't managed to make it work again.