I've tried the same but the graphics performance was too slow (no GPU acceleration). The current setup is to use a virtual machine but connect to it via VS Code's Remote SSH extension from the host.
> A compromised remote could use the VS Code Remote connection to execute code on your local machine.
So I would say that it might be a bit harder for an attacker to gain access to your local machine, but you should not rely on it, because it's more like security by obscurity.