1. I am going to save 30 minutes of time to noobs like me - it has to be edited in the settings.json file. The easiest way to access it is menu command File → Preferences → Settings, search for "Color", choose an option "Workbench: Color Customizations" → "Edit in settings.json".

2. This uses the solution proposed by Gama11, but note:
   the final form of the code in the settings.json file should be like this - note the double curly braces around "workbench.colorCustomizations":

    {
      // fontSize just for testing purposes, commented out.
      //"editor.fontSize" : 12
   
      // StatusBar color:
         "workbench.colorCustomizations": {
         "statusBar.background" : "#303030",
         "statusBar.noFolderBackground" : "#222225",
         "statusBar.debuggingBackground": "#511f1f"
        }
    }
   

After you copy/pasted code above, press Ctrl + S to save the changes to 'settings.json'.