Microsoft.XMLHTTP request works in Excel VBA but not in Visual Studio Code

Question

The following code works fine in an Excel VBA module

Sub test()

    Dim restReq, url, apiKey
    url = "https://some.server.com/?param1=123"
    apiKey = "123342545"
    Set restReq = CreateObject("Microsoft.XMLHTTP")
    
    restReq.Open "GET", url, False
    restReq.SetRequestHeader "accept", "application/json"
    restReq.SetRequestHeader "X-ApiKey", apiKey
    restReq.send ("")
    
    'MsgBox restReq.getAllResponseHeaders
    MsgBox restReq.responseText

End Sub

But when I run the exactly same code from Visual Studio Code, I get this non helpful error message:

MSXML3.DLL A security problem occurred.

Any ideas, where the difference could be?