Github is cool, Microsoft isn't. /s
It doesn't feel like a microsoft product at all. Nothing like Visual Studio.
As for "projects", I'd argue that if you open a folder, that's your project/workspace/whatever.
Just thought I'd add this in case someone who doesn't know VS Code[ well] gets confused.
I haven't tried Sublime Text. I was comparing VSCode with Visual Studio, and IDEs I consider to be in the same space like Netbeans and Eclipse.