VSCode supports clicking file paths referenced in the terminal, optionally including line numbers and column indices, and jumping to the referenced file at the given position.
See, e.g., #156439.
However, it does not understand the tsc output format:
path/to/file(4,1): some error message
... where 4 above is the line number, and 1 is a column offset.
Clearly it understands this in a problem matcher somewhere as the integration with tsc at edit time is working. It'd be nice to also understand it in the terminal, for times when tsc is run from there.