They have one feature that I like, at least in VSCode terminal: if you click on something that resembles a compilation error (filename:line) it will open the editor on that file on that line. That work with every compiler/tool and it's useful.

Other than that, I don't like to leave my editor to switch to a terminal. Thus when I develop I usually use the VSCode terminal because it's more practical, to compile, run tests, use git (yes, I know that VSCode has git functionalities built in... I find the terminal more practical and fast)