From what I've read, vscode does not send your code automatically to their servers, although this may happen through extensions.
You can disable *most* of the telemetry via https://code.visualstudio.com/docs/getstarted/telemetry#_dis...
Seemingly vscode is GDPR compliant also outside of the EU if I understand this text correctly https://code.visualstudio.com/docs/getstarted/telemetry#_gdp...
But, *if* they upload your code to their servers, they will train AI on it, as stated in the privacy policy https://privacy.microsoft.com/en-us/privacystatement
"For example, to build, train, and improve the accuracy of our automated methods of processing (including artificial intelligence or AI), [...]"
Though if you really care about your privacy you shouldn't use VSCode, one alternative (there are many, vsocde is a text editor after all) is vscodium, but many extensions don't work with it because of how microsoft licensed the extensions. https://vscodium.com/
https://code.visualstudio.com/license
What, specifically, concerns you?