Lets gets some basics out of the way. PlatformIO is in two parts - the PIO Core/CLI, which is the heart of PIO, and does all the toolchain, dependency, compile & library management, etc. Then you have the PlatformIO VSCode extension, which adds the integration between PlatformIO and VSCode, so you don’t have to use the command line to interact with PlatformIO.
Everything else is in the domain of the editor you are using - in this case, VSCode. Workspaces, IntelliSense, syntax highlighting, etc are all VSCode related.
Put simply, to create a workspace, do File -> New Window. You now have an empty workspace. You can now repeatedly go File -> Add Folder to Workspace... to well… add folders to the workspace. Once you’ve added your folders (one or more), you can then go File -> Save Workspace As... to save the workspace layout to a file. Doing so will allow you to group a bunch of projects together in different workspaces, which you can open via File -> Open Workspace... or the File -> Open Recent menu.
Workspaces will remember the order you have the folders, the tabs you had open, and can be changed at any point in the future. Have a look at the VSCode documentation as well, as that walks you through using them.