Visual studio Code installation failed in OSX El Capitan
Surprisingly, I have re-downloaded it again after a week and it has installed successfully. It seems like they Microsoft has fixed problem with El Capitan. I didn't do anything different so I really don't have a clue what the right solution is apart from re-downloading again which seem to have worked.
From the official website:
Visual Studio Code has been tested on the following platforms.
- Ubuntu Desktop 14.04
- OS X Yosemite
- Windows 8.0, 8.1 and 10 (x86 and x64)
So it seems that El Capitan is yet to be fully tested or supported. It may work if you press "Ignore" on the warning message. It's also worth mentioning that VS Code is still a beta product.
Additionally version v0.10.1 has been released, this will hopefully fix many issues, possibly even yours.
The problem you were experiencing was as @DavidG said just because they had not tested it yet on el Capitan. The reason it now works is because it has been tested. But it would have worked anyway if you had just pressed the "Ignore button".