init.luaに書いてもだめらしい。READMEに記載がある。 https://github.com/vscode-neovim/vscode-neovim#composite-escape-keys
keybindings.jsonに以下の設定を書けばよい。
{ "command": "vscode-neovim.compositeEscape1", "key": "j", "when": "neovim.mode == insert && editorTextFocus", "args": "j" }, { "command": "vscode-neovim.compositeEscape2", "key": "k", "when": "neovim.mode == insert && editorTextFocus", "args": "k" }