Maybe my VS Code setup isn't correct, but if I need to explore % class files to learn more about behavior of some methods (let's face it, the documentation isn't always revealing), I use Studio.  A recent example was learning what methods of %CSP.Page I could override and which order the override-ed methods were called in the code.

I know in the past I've referenced other things.  It's not often but it's helpful when we can.  I haven't found a way to view % classes in VS Code.  

Maybe someone can help me if that's something I've missed!

The built in solution is Zen reports or has that changed?  Otherwise, as people mention, lots of other options.