Have you tried the neovim integration setting? I find that almost everything works as I would expect it to nowadays.
But every time I disable it, I immediately miss normal mode. So yeah, as happy as I am with VSCode (which is a lot), the situation is suboptimal.
I found vscode macros particularly painful. Slow & where vim optimizes things. Typing abc^H^Hsdf will seamlessly play out as asdf, but with vscodevim I have to watch the macro repeat my mistake each time
I've been waiting for someone to make that work before diving into vscode and if it's solid looks like I have my weekend project.