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.

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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:

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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.

Cheers,
DMDComposer