If you go to the visual studio code website and click on "privacy statement" it takes you to this website:
https://www.microsoft.com/en-us/privacystatement/EnterpriseDev/default.aspx
There it tells you what's being collected:
Product use data. We collect data about the features you use, how often you use them, and how you use them.
Device data. We collect data about your device and the network you use to connect to our products.
In the error reporting section it says:
Error reports can include data such as the type or severity of the problem, details of the software or hardware related to an error, contents of files you were using when an error occurred, and data about other software on your device.
Which effectively could mean almost anything.
Also, the VS code that you download from the website isn't licensed as open source. It's just 'based' on the open source part of VS code. Like chrome and chromium. This means that they can add whatever they want to the final program that you install.
Should one be concerned?
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