The export capabilities in VSCode are very poor compared to Studio. There should be a possibility to export multiple classes/routines in xml format.
VSCode also lacks the different Wizards (SOAP/XML) and the guided way (File/New...) to create classes, processes, DTLs, BPLs and so on. You can't edit BPLs and DTLs with VSCode.
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The format doesn't matter as long as you can easily package multiple classes/routines in a single file. By easily I that mean that you should be able to choose the exported classes/routines eg. from a class tree.