Yes, that is what this looks like. CubeMX generates projects by default in a subfolder of the source. That is because it can often generate projects for multiple types of IDEs. When we convert to CMake though that leaves you with the situation where ...
Yes, check that vcpkg is activated by this icon in the status bar. It does not look like it based on the output you posted.If you are getting a vcpkg activation error you can post an issue in our Embedded Tools issue list as that is where it is bundl...
Was this project imported with the STM32 extension? The latest should have vcpkg bundled in one of the extension dependencies which would satisfy the cmake and ninja dependencies.