As far as I understand this is restriction imposed by vscode.previewHtml but still it has to be tackled somehow. Either vscode.previewHtml has to be extended/superseded (that's on VSCode side) or DevDocs settings has to be saved externally (on vscode-devdocs side) and passed to DevDocs when it's opened.

This is really annoying issue and is a showstopper for me. :(