How to retrieve ALL metadata in vscode

You can use this VS Code extension

Salesforce Package.xml Generator Extension for VS Code

This extension provides an User Interface to choose metadata components for Package.xml file for development against sandboxes or DE orgs (Org Development Model with VS Code). This is similar to Eclipse Force.com IDE Add/Remove Metadata Components option.

Affiliation : I am the developer for this extension. It is free to use.

You can now use the org browser in VSCode to retrieve specific metadata types or individual files: https://developer.salesforce.com/tools/vscode/en/user-guide/org-browser/

Have you tried wild card *? It will retrieve all custom metadata of the org

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">

    <types>
        <members>*</members>
        <name>CustomMetadata</name>
    </types>
    <version>45.0</version>
</Package>