For me, a lot of things simply make more sense. For example, in Sublime, the system configuration files can be modified, but you shouldn't do that. Instead, you have to write on your user settings. On VSCode, you can't modify the system files, and there is a handy reminder and shortcut at the top of the site that configuration files should go in the user settings.

Also, I like the way it handles open files (they are held on a workspace area where you can discard changes) and it also come with git integration.

You can rely on plug-ins to do this kind of work on sublime, but you have to put a lot more effort in configuring it, whereas VSCode comes with better packages right off the box.

Several things. Integrated debugger. Built-in autocompletion that just works (at least for C# and JS that I've checked). Already up to parity with ST3 (which I use daily) for a lot of things, and updated on a monthly basis by a large-ish team. Now open Source.