Not to be that guy, but emacs has had this for years via tramp.
With VSCode on the other hand, I have no issues at all: couldn't even tell the project was remote.
I still use emacs (emacs -nw via ssh), but it's nowhere near VSCode's responsiveness and now I cant use GUI emacs. It's definitely a source of frustration :/
Especially since it seems VSCode manages those connections better.
It's ok to admit your favorite tech has flaws, everything has them.
This is cool when the machine you are connecting to is more powerful than the one you are sitting on. This is far less cool when the machine you are connecting too is less powerful than your desktop (RPi or Beaglebone, for example).