That’s not very convenient. If I run sbt for a project in VS Code I usually do so in a shell in VS Code.
I agree this is not convenient at all and we have to work on it.
One solution would be to delegate the task of lauching the sbt shell to the IDE. But I don’t think this is good solution for the long term. My expectations are for the thin client mode to become the solution. So that you can have one sbt server running in a terminal or in the background and that you can connect to it from a terminal in your IDE.