Ctrl+Shift+E inerts special characters into file instead of showing Explore Pane in VS Code
Okay, it took some time to narrow down this issue. It appears, GTK3 reserves the key combination Ctrl+Shift+E to insert Emoji.
Good news is, this feature has been removed in GTK version 3.24. You can update your GTK version to fix this issue.
As HolyBlackCats and Pida stated in comments, the best way is to install Visual Studio Code by "sudo apt install" on your Ubuntu, as the problem still exists (even after 2 years).
$ sudo apt update
$ sudo apt install software-properties-common apt-transport-https wget
$ wget -q https://packages.microsoft.com/keys/microsoft.asc -O- | sudo apt-key add -
$ sudo add-apt-repository "deb [arch=amd64] https://packages.microsoft.com/repos/vscode stable main"
$ sudo apt install code