Sending over keystrokes will always be faster than sending across a video stream of your screen. So VSCode Live Share will always be faster. However, in practice, we've found the cost of a few extra milliseconds in latency are far outweighed most of the time by the benefit of being able to interact with any application on the shared screen (and draw).
For instance, if you're building a webapp, and need to look at the product alongside the code, screen sharing (especially with the ability to draw) is a lot more valuable than being able to type in the IDE.
Back when we made Screenhero, we had the option to share a specific app, and what our users told us was that they'd often start by sharing the IDE, but then realize they wanted a lot more, and so would have to stop and share the entire screen. We eventually dropped the 'window share' feature for this reason.