Ah, Thanks - I see now the shortcut is [Alt-click] as opposed to [Cmd-click] in the other two editors. I just didn't dig around enough to find the right key combination. But I guess this shows how ingrained muscle memory and habits are hard to change, and why certain editors remain people's favourites.
Be warned though... this is one area where vscode is noticeably worse than atom or sublime; There's no alt-click-drag support so making a rectangular edit is much more work; you manually create the correct selection on each line.
It's one of the few things I miss from Atom (and one of the main reasons I switched to textmate way way back).