The biggest feature is probably remote. This is what allows you to have your code in a remote location (SSH, WSL and containers) and still get an integrated experience as if things were all running locally. If your app is Dockerized or you use Windows with WSL and you like intellisense, you're likely using this feature.
Some of the language servers for popular languages are closed source too, which is weird because I thought the idea of a language server was to work together so all editors could get excellent language specific features without having to reimplement the same logic in every editor.
That's not an exhaustive list, just what I know off the top of my head. I also vaguely recall reading something about a year ago about some core bits of the editor being written in C++ for performance reasons and those are closed source but I can't find a reference and don't know enough about the code base to track that down so I don't want to say that with any type of authority. Would be great if someone more knowledgeable in the area could track that down, or come up with a more exhaustive list of things that aren't open source.