My big complaints are with the default experience in how that affects everyone's expectaions, but I do this sometimes, yes. The VS Code "GitHub Pull Requests and Issues" extension has gotten really good and gives a lot of tools for this. If using github.com (and not GHE) you can even use the "." shortcut in any PR to open that PR in github.dev, which is a web version of VS Code (that you can Settings Sync) to review the PR there without even needing the local checkout. But also that's a bit of a "hidden shortcut" and very few developers know about it, which again gets back to what the GitHub interface provides by default and how it makes things discoverable being something of an underlying issue.