I completely agree. For the last couple years I've used VSCode for everything _except_ interactive Python development because Atom + Hydrogen is just too good.

I'm giving VS Code + its Jupyter extension a shot for now. It's significantly worse than Hydrogen, but I tried to make it a little less bad with a quick extension to auto-infer code blocks [0].

[0]: https://github.com/kylebarron/vscode-jupyter-python