I have it enable in settings (Script Analysis: Enable).
I have settings path sets to ScriptAnalyzerSettings.psd1
I can invoke Get-ScriptAnalyzerRule or Invoke-ScriptAnalyzer in PowerShell Integrated Console and it works (and showing warnings/errors according to rules).
On the other hand after "F1 + PowerShell: Select PSScriptAnalyzer Rules" nothing happens. And of course there are no highlights in code.