Well, the setup I mostly use looks like this: https://imgur.com/a/A9b3izE

I've tried getting something like that going in VSCode, but even just switching between terminals and compiling and so on is just too confining. Whenever I've tried, there's always some part of it that doesn't let me easily do something, because it expects one to use it some other way.

With a shell, tmux, vim and other CLI tools, it's all based on basic primitives that all function the same way and you can compose them as you like. It just works. You can't do that with VSCode or any other IDE. They all put limitations on you and if your preference doesn't fit its, you're out of luck.