Setup:
Have a look at my configuration:
$ echo $GOPATH && ls -r $GOPATH
/home/cyrus/.go
src pkg bin
$ echo $GOROOT &&
My $GOROOT directory was created with owner: root and group: wheel instead having me as the owner and admin as the group. I'll guess that I used sudo when I shouldn't have (or some tool did it for me). As such go get could not write the packages to $GOROOT and hence the $GOPATH not set and permission denied errors.
By using chown and chgrp on my $GOROOT (with -R to get subfolders) 'go get...' worked. In my case VS Code was now able to install the Go components I was after.