What are good, open source, alternatives to VS Code? That are modern IDEs with decent support for frontend, backend, data science, and embedded (possibly via extensions)? That mostly work out of the box, without having to set up and configure NN things.

They don't exist. If you want out-of-the-box, use Jetbrains and pay for it. If you want free-as-in-beer, VSCode proper. For free-as-in-speech you'll spend hours to learn/configure neovim/helix/emacs, or even hunting down free VSCodium plugins, I guess.

I think working on out-of-the-box experience is not very attractive for volunteer contributors, so I guess the situation won't change unless we find a way to sponsor that work.