Cursor agents open terminals just fine in VSCode and is a major part of how Cursor works.
I personally code in VSCode text editor prior to Cursor (left VIM a while ago) and prefer to stay in the context of a desktop text editor. I find it's easier to see what's changing in real time, with a file list, file tabs, top level and inline undo buttons etc.
I've even stopped tabbing to a separate terminal by about 50%, I learned to use VSCode terminals to run tests and git commands, which works well once you learn the shortcuts + integrate it into some VSCode test runner extensions. Plus Cursor added LLM/autocomplete to terminal commands which is great. I don't need a separate CLI tool or Bash/zsh script inside terminal to inject terminal commands I forgot the arguments for.