Hello, welcome to the community! And thank you for your report.
As far as I can see, it seems that you correctly configured connected mode for your project.
Could you please share what the SonarLint Output shows when you open a .sql file?
Please note that the analysis of PL/SQL requires the Oracle Developer Tools for VSCode extension - this is the one that defines the oraclesql language that our PL/SQL analyzer recognizes. I will make sure that this is documented in the upcoming 1.22 release of SonarLint for VSCode.