For me I don't use macro's that much. I remeber they worked fine in the Visual Studio plugin, but not sure VSCode. If I really need it for a file, I can always quickly open gvim itself. If you use it in your daily workflow, then it might be an issue indeed. But I don't see a reason why a plugin couldn't offer that (like the Visual Studio plugin).

Vim multiline editing works fine :). Not sure what the VSCode offers thoug (maybe I'm missing out)