One of the major feature of SqlLens Desktop is the use of AI when analyzing, comparing or searching servers and databases. The VS Code, being FREE, has limited access to these AI features. From a useability standpoint, the Visual Studio interface has a different appeal. We have made a list of the differences between the two applications.
On the technical side: we have been trying to keep a common visual theme as well as making the code behing the desktop and the extension as close as possible to deliver a similare experience between these applications.
The Visual Studio Code Extension 'links' with the Mssql extension -- this is an early developement. The road map is to extend the Mssql features with the SqlLens features. You may want to comment on this integration and tell us which features you would like to see integared sooner.