Which VST? You may need to choose a different one. Some just won't work with LMMS.
If you try one from the list of Tested VSTs https://lmms.io/wiki/index.php?title=Tested_VSTs then it should be o.k. If not then please tell us your operating system (Windows, Linux, Mac), the VST that doesn't work and the version of LMMS you are using.
Steve