The VS code you download is not Open Source, it has a special Microsoft license and includes close source Microsoft Telemetry ( which could be considered as spyware) which you cannot opt-out completely.

See https://code.visualstudio.com/license

If you want a clean VS Code with MIT license and no spyware you have to build it yourself or use VS Codium : https://github.com/VSCodium/vscodium/blob/master/README.md

This pretty much the same idea as Chrome vs Chromium