Well, the scale of advantage depends on how much do you value your privacy :)
In other aspects VSCodium and VSCode are pretty much the same (except a couple of niche features). And neither of them is an IDE (not to be confused with M$ Visual Studio, which is a paid IDE with all compilers, debuggers etc. included).
But you can alter both of them to the state of IDE using plugins. VSCodium might require a small extra step that is enabling VSCode Plugin Marketplace, if you need some proprietary extensions, that's all.
No high-profile cases yet, but some people are already concerned: https://crimeflare.eu.org/