Hi Corina,
Simply saving the document (ctrl + s) or file → Save should make the changes in the files on your disk directly when editing the scss files in studio pro.
If you do not save, the change only lives in studio pro.
Make sure that you have the correct file open in vs code by right-clicking it in Studio Pro:
Allthough, if you make a change in vs code, save it, and in Studio Pro press F4-synch with local directory, and that change is visible, then you should be working in the same file.