It looks like the GENDEV environment variable isn't set up correctly. In the docs they mention this is needed as a first step (see "Build some sample code")
https://github.com/kubilus1/gendev/blob ... FreeBSD.md
When you run vscode and make a new terminal it may not be importing the environment variables you set up before launching vscode, so perhaps GENDEV is empty there?
That's why it's examining /src/boot/sega.s and not ~/<environment-variable-path-to-your-project>/src/boot/sega.s and failing to locate the file.
Maybe try this test:
1. Edit your program in vscode as needed.
2. In a different terminal (not the vscode built-in one, and not invoking any build hotkeys within vscode to make your project), set up the GENDEV variable and try running make manually.
Does that work?