> When a press a character key on my keyboard, it should appear in my editor immediately.

Seems to work the same for me in VSCode, CLion, and nvim. I don't doubt that you have issues with it (I've experienced slow editors & laggy input, it sucks) but I don't think it's inherent to VSCode. Doesn't mean it's not a bug, but if I had that issue I'd try with no extensions to verify, then binary search disabling the extensions I want until I find the one causing the lag.