From the linked FAQ:
VS Code collects usage data and sends it to Microsoft to help improve our products and services. Read our privacy statement to learn more.
If you don't wish to send usage data to Microsoft, you can set the telemetry.enableTelemetry setting to false.
From File > Preferences > Settings (macOS: Code > Preferences > Settings), search for telemetry.enableTelemetry and uncheck the setting. This will silence all telemetry events from VS Code going forward. Telemetry information may have been collected and sent up until the point when you disable the setting.
That's ALL telemetry. So, the second you don't actively opt-in, we collect no telemetry data in VS Code AT ALL.
You'll also want to disable crash reporting:
VS Code collects data about any crashes that occur and sends it to Microsoft to help improve our products and services. Read our privacy statement to learn more.
If you don't wish to send crash data to Microsoft, you can set the telemetry.enableCrashReporter setting to false.
It's that simple. Absolutely nothing - and CERTAINLY no user code (which we never collected in the first place.