I still couldn't find an answer to my question. However, I found a workaround for the following:
I use the Autohotkey Plus Plus extension for my syntax for AHK in VSCode. I learned using the VSCode inspector token that I can edit the extension in AHK and add more user specific tokens so I can get really specific on my coding using REGEX and rules.
Editing the file in the extension folder labeled "ahk.tmLanguage.json". I learned after trial and error to make a few extra rules using regex to add specific tokens. For example:
Adding the following under the "script-block" key (or object not sure of right identifier). I was able to color code my labels, hotkeys, and even variables inside percents.
From my understanding using the Textmate rules, "Captures" are the capture in your "match", so the capture "groups" in your regex match. I then just set the capture token to what I want, and then in the settings.json of VSCode, I set the colors to what I wanted. For example:
Hopefully, if anyone else runs into this post will help them. FYI, I'm sure when the author updates the plugin this will break, so make a backup or script to add/update this as that's my plan at the moment anyway til I figure out a better solution.