Came to say I am running into the same issue.
My config is based on Astrovim, with some tweaks done by myself
LspInfo says attached to client powershell_es
Coc works , but I noticed how Cmd works nicely and looks great when working in other sources
So I removed Coc today and tried getting Lsp+Cmp to work
I started using Vim about 6 months ago, and switched to Nvim+lua only recently so I’m very much still learning.
But cannot locate anything specific here, afaik Cmd uses LSP as a source and that should be enough?