The April Windows 10 update brings many improvements to WSL. One of them is the possibility to save unix permissions as NTFS file metadata:

https://blogs.msdn.microsoft.com/commandline/2018/01/12/chmod-chown-wsl-improvements/

One of the caveats is: "Editing a file using a Windows editor may remove the file's Linux metadata. In this case, the file will revert to its default permissions"

As of now, VSCode unfortunately does exactly that - when you save the file, the metadata (containing i.e. the execution permission bit) is deleted.

It would be nice to keep the file's metadata on save.