Both Sublime and VSCode definitely have a concept of projects with their own files and windows. Is your complaint that the projects are folder-based instead of taking the form of a "project file" containing a list of files in the project? Because I really see the latter as an anti-feature.
as an aside, you can totally do this with do this with sublime-project files if you want.
Also, Sublime doesn't do refactoring but VSCode totally does, given appropriate language server support which does exist for e.g. typescript. I have no problem believing that IntelliJ has more and fancier refactorings and code navigation features, but honestly I have never had a lot of use for anything more than rename, goto definition, find all references, and most importantly function/variable name completion, which all work great in VSCode.