Install Connect IQ SDK on Windows for VS COde and WSL

Hi I am having trouble installing development environment for the Connect IQ. 

I use Windows 10 and VS Code with WSL (I have to use it for my full stuck dev course and prefer not to change how the VS Code works).

I've installed the Java, and SDK from the "getting started" page and all went alright, but  when I run "Monkey C: New Project" in VS Code I receive this message:

- Unable to determine the current SDK. Use the SDK Manager to set the current SDK.

I've installed SDK 4.0.9 and set it active in the SDK Manager. I've set the path as per the description, but probably there is an issue with WSL, could not find anything that work. 

I am fairly new to software development and looking in to developing a small app that will communicate to my unicycle via Bluetooth.

Thanks for your help! 

Vitally