I'll assume $m, n \ge 2$.
I claim that
$$\Lambda = \left\{\lambda \in \mathbb R^m: \; \sum_{i=1}^m \lambda_i = 1,\; 0 \le \lambda_i \le \frac{1}{2} \ \text{for all}\ i\right \}$$
The necessity of the condition $\lambda_i \le 1/2$ comes from the fact that for $v_j \in S^{n-1}$, $$\left\|\sum_{j=1}^m \lambda_j v_j \right\| \ge \lambda_i - \sum_{j \ne i} \lambda_j = 2 \lambda_i - 1$$
Conversely, suppose $\lambda \in \mathbb R^{m}$ with $\sum_i \lambda_i = 1$ and $0 \le \lambda_i \le 1/2$. WLOG we have
$0 \le \lambda_1 \le \ldots \le \lambda_m$. Let
$$\eqalign{U &= \left\{ \sum_{j=1}^{m-1} \lambda_j v_j: v_j \in S^{n-1}\right\}\cr
L &= \lambda_{m-1} - \lambda_{m-2} + \ldots \pm \lambda_1 = \sum_{j=1}^{m-1} (-1)^{m-1-j} \lambda_j\cr
R &= \lambda_{m-1} + \lambda_{m-2} + \ldots + \lambda_1 = \sum_{j=1}^{m-1} \lambda_j = 1 - \lambda_m\cr}$$
We have $0 \le L \le \lambda_{m-1} \le \lambda_m \le R$. $U$ contains vectors of norm $L$, e.g.
$\sum_{j=1}^{m-1} \lambda_j (-1)^{m-1-j} \lambda_j v$ for any $v \in S^{n-1}$, and vectors of norm $R$, e.g. $\sum_{j=1}^{m-1} \lambda_j v$ for any $v \in S^{n-1}$. Since $S^{n-1}$ is path-connected, so is $U$, so it contains an element of norm $\lambda_m$, say $\lambda_m u = \sum_{j=1}^{m-1} \lambda_j v_j$ with $u \in S^{n-1}$, and then
$ 0 = \lambda_m u - \sum_{j=1}^{m-1} \lambda_j v_j$. This proves the claim.
Now I claim the extreme points of $\Lambda$ are the vectors with two coordinates $1/2$ and the others $0$. It's easy to see that any vector of this form is an extreme point of $\Lambda$. Conversely, if $\lambda \in \Lambda$ is not of this form, there are at least two coordinates, say $i$ and $j$, where
$0 < \lambda_i, \lambda_j < 1/2$. Then for $\epsilon > 0$ sufficiently small, $\lambda$ is the average of $\lambda + \epsilon (e_i - e_j) \in \Lambda$ and
$\lambda - \epsilon (e_i - e_j) \in \Lambda$ (where $e_i$ and $e_j$ are standard unit vectors), so $\lambda$ is not an extreme point.