The Codelens provided by VS Code Jest extension on tests in the editor has been retired (hence this post on Jest CodeLens I wrote a while back is also outdated).

The fix is really simple:

In your User Settings file (setttings.json), put this line in:

"testing.defaultGutterClickAction": "contextMenu"

You should now be able to access Debug test etc. from the Play button in the gutter: