Hmm... Try these two things:
1.) Make sure Julia is running, e.g, cnrl+' (cmd+') and type 1+1 or something into the console. I think Julia has to be running to see the "Julia Client" commands. 2.) When you're sure Julia is running, make sure the file is active and not the console, i.e. click into the file and away from the console, and then try command pallette -> Julia Client: Work in file folder. If you're in the console, when you try to set "Work in file folder", it will complain that it is not a directory (or something). Hope this helps.
