For me it worked when I changed the type to "type": "shell", in the tasks.json file.  This is the settings I used for the basic example in Armadillo documentation.
tasks.json
{
    "version": "2.0.0",
    "tasks": [
        {
            "type": "shell",
            "label": "C/C++: g++ build active file",
            "command": "/usr/bin/g++",
            "args": [
                "-ggdb",
                "${file}",
                "-o",
                "${fileDirname}/${fileBasenameNoExtension}",
                "-std=c++11",
                "-O2",
                "-larmadillo"
            ],
            "options": {
                "cwd": "${workspaceFolder}"
            },
            "problemMatcher": [
                "$gcc"
            ],
            "group": {
                "kind": "build",
                "isDefault": true
            },
            "detail": "compiler: /usr/bin/g++"
        }
    ]
}
and
launch.json
{
    "configurations": [
      {
        "name": "(gdb) Launch",
        "type": "cppdbg",
        "request": "launch",
        "program": "${fileDirname}/${fileBasenameNoExtension}",
        "args": [],
        "stopAtEntry": false,
        "cwd": "${workspaceFolder}",
        "environment": [],
        "externalConsole": false,
        "MIMode": "gdb",
        "setupCommands": [
            {
                "description": "Enable pretty-printing for gdb",
                "text": "-enable-pretty-printing",
                "ignoreFailures": true
            }
        ],
        "preLaunchTask": "${defaultBuildTask}",
      }
    ]
  }