There are too many to list. I'd recommend using a JetBrains IDE to see what it has.
Off the top of my head, VSCode lacks a decent code formatter and a "search everywhere"-type command palette. And the Git and database support is not good either, but that's kind of a given.
for me, a TS using node nerd, vs code does these things well:
is there more for me to have? is the core difference i use so much m$ stuff?