Retry connection instead of immediately erroring

Suppose you have a VPN and when you boot your computer, VS Code automatically reconnects but this fails because your VPN is not up yet. Then you have to go around hitting "ok" on the prompts for all the windows you have open, and then re-open all the projects all over again.

So two things:

1. Instead of OK, an error here should have "Retry" and "Close remote"
2. We should retry the connection automatically with an exponential backoff, with an option to retry immediately and a countdown to the next retry. At least, we should do this if the error appears to be retryable. In this specific VPN case, it seems the status code is missing, so retry when there is no status code (is it a timeout?). Maybe 502-504 as well?