I get where you're coming from and generally agree. The trouble is that the integrated tools are all pretty bad, in my experience. If I can use DataGrip instead of some VS Code extension called "Database Client", I'm going to use DataGrip. I will often even prefer pgsql for many tasks. A mediocre tool might save time here and there because it's convenient, but I find their broader impact is poorer work done in worse ways.
Of course, this is all opinion in a very subjective context. Some people do best-in-class work with terrible tools.
Datagrip, of course, is just the integrated database editor of intellij packaged without the rest of intellij, so it's not a rule that integrated tools are always bad
But Sublime isn't an IDE, it's just a text editor. The line is blurry (especially with how VS Code is used these days) but I have ST running next to IntelliJ all day, they serve different roles.
That’s the point behind an IDE - integrated developer environment.