Normally it's easiest to install using a conda environment instead of pip. Using only pip you are making a lot more work for yourself. (What platform are you on, what are you trying to do? The reference to tar.gz makes me think it's Linux, but same goes for Windows or Linux - use conda.)
Normally you don't need to build arcgis, you just install the conda package.
It's possible to use pip in conda if you have to, for example, when there is no conda package. By this I mean first you set up conda and activate an environment, and use pip commands in that environment. When you do this the pip packages are installed into the conda environment so everything remains walled off in the conda space, both the conda and pip packages. No need for any separate pip virtual environment.
But there is definitely a conda package for arcgis.
conda search -c esri arcgis
Loading channels: done
# Name Version Build Channel
arcgis 0.1 py34_0 esri
arcgis 0.1 py35_0 esri
.
(many other versions omitted...)
.
.
arcgis 2.3.0 py311_6408 esri
arcgis 2.3.0 py39_6408 esri
VSCode fully supports conda, I use it every day on both Linux and Windows.
