Without, there's a big heatsink inside meaning a fan isn't required.

Note, this is a Beta version of the software, as such it doesn't have all the functionality and has purposefully been limited.

Because manufacturing... Otherwise you have to CNC the whole thing and it makes it really expensive.

I suppose you have a point. It was probably extruded along the fins like this (coming straight in/out of screen):

__|||||||___(fan)____

Then they would have to CNC the edges off to create the mounting ears anyway and cut the slots in the fins. I suppose they could just make the gaps larger but this is probably getting into the details...

The Official Raspberry Pi Pico Windows install will give you a working VSCode build system with the official SDK. It's not Arduino libraries, but is easy to get going and building code.

https://github.com/raspberrypi/pico-setup-windows/releases

That's one of their uses... I had a chat with a couple of people sat down and they were just waiting for their SOs to finish browsing. So I gave them a MagPi and Hackspace magazine to read while waiting.

I noticed that they bought the Hackspace!

:)