To remove characters use COMPRESS(). To end a data step use RUN statement. END is use to end a DO loop, which your code does not include.
data VSD22;
set VSD21;
Code=compress(Code,'.');
run;
TRANWRD() is for replacing strings with other strings. Example: tranwrd(string,'hello','good-bye')
Normal SAS syntax does not generate empty string, so just because you did not type the space between the quotes you still gave tranwrd a string with one space to replace the string with one period.
If you want to replace a string with nothing you will need to use TRANSTRN() function. To actually create an empty string instead of the string with one blank space you would need to use TRIMN() function. Example: transtrn(string,'remove me',trimn(' '))