You can configure the EXPLORER view to nest related files based on their names from the Visual Studio Code settings.json file. You need to specify the explorer.fileNesting.enabled setting, and provide patterns for the COBOL file extensions being used. For example:
"explorer.fileNesting.enabled":true,
"explorer.fileNesting.patterns": {
"*.cbl": "${capture}.cpy, ${capture}.cpf, ${capture}.cpv, MFU*${capture}.cpy, Test${capture}.cpy",
"*.CBL": "${capture}.CPY, ${capture}.CPF, ${capture}.CPV, MFU*${capture}.cpy, Test${capture}.cpy"
}
On case-sensitive file systems, you might need to specify both upper-case and lower-case values, as in the example above, if files using both cases exist.