You're not missing much. You can generally use Cursor like Claude Code for normal day to day use. I prefer Cursor because I like reviewing changes in an IDE, and I like being able to switch to the current SOTA model.
Though for more automated work, one thing you miss with Cursor is sub agents. And then to a lesser extent skills (these are pretty easy to emulate in other tools). I'm sure it's only a matter of time though.
Claude Code's VS Code integration is very easy to set up and pretty helpful if you want to see/review changes in an IDE.
The big limitation is that you have to approve/disapprove at every step. With Cursor you can iterate on changes and it updates the diffs until you approve the whole batch.
There is an auto accept diffs mode