I am not surprised since Copilot was trained using code from GitHub, which belongs to Microsoft, and I would guess Microsoft tries to protect the code from being filtered to train AIs belonging to competitors, such as Chat GPT.
- You can open and see .urp files in VSCode, but generating .urp files on your own is not recommended, since the XML format varies depending on the version and this documentation is not public. See here.
- You can create a program that only runs a script. And then, edit and do everything through this script. There is a URScript extension for VSCode available.
I think on the Advanced Course they only cover the basics of URScript, since the goal is to go deeper in other areas. Once you are registered for the course, (in case the course provider has made them available) you can download the reference guide and workbook on PDF and see where this goes.