You have to use a theme that supports Semantic Highlighting. All the inbox themes support it and the PowerShell ISE theme supports it but it’s not guaranteed that every theme will. If you don’t see any difference in highlighting, the theme you’re using probably doesn’t support it. Open an issue on the theme you’re using to support Semantic Highlighting.
It seems this theme doesn't support semantic highlighting: https://code.visualstudio.com/api/language-extensions/semantic-highlight-guide
This causes problem for the latest Powershell plugin which supports semantic highlighting mentioned here: https://devblogs.microsoft.com/powershell/semantic-highlighting-in-the-powershell-preview-extension-for-visual-studio-code//