Glossary does not print in Visual Studio Code, but does print on Overleaf.com

I am trying to get my glossary to print in Visual Studio Code,
the same files do print a glossary on Overleaf.com.

MWE on Overleaf.com: https://www.overleaf.com/read/kztypntcdrvy

Visual Studio Code / latexmk stated that the files: main.acr and main.gls were missing.
However I do have the files: main.acn and main.glo.

I am using, Latexmk: This is Latexmk, John Collins, 1 January 2015, version: 4.41.