Actually, with a normal .ts file it works well in VSCode as well. It is only problematic within the .svelte file for some reason.

So I continued down the rabbit hole and it turns out custom events are not supported out of the box.
there is an open issue for it and a potential workaround (global declaration within the Svelte.jsx namesapce, see issue).
I used a very silly example to see how vscode + svelte deal with typed actions and encountered this issue.

my silly example App.svelte

<script lang="ts">
	import {act} from './act';
</script>
<section use:act={{a: "5"}} on:test={(e) => {}}>
	Hello
</section>

act.ts

type Opts = {
  a: string
}
export function act(node: HTMLElement, options: Opts) {
  console.log(node);
  node.dispatchEvent(new CustomEvent('test', { detail: {} }));
  return {
    update: (newoptions: Opts) => { },
    destroy: () => { } 
  }
}

The method suggested in the ticket (global.d.ts) makes the error on 'ontest' go way but I couldn't make it understand the type that handler is supposed to enforce (it always thinks it is of type 'any' not matter how I tweak the declaration).
This is not great to say the least.

More findings:
turns out the vscode plugin has a really strange behaviour. When importing svelte-dnd-action in the root component it can't find the types but when importing from any other component it can.
In order for it not to complain about on:condsider and on:finalise and in order to have type info about the event, I have added this to index.d.ts for svelte-dnd-action:

declare enum TRIGGERS {
    DRAG_STARTED,
    DRAGGED_ENTERED,
    DRAGGED_OVER_INDEX,
    DRAGGED_LEFT_EVENT_NAME,
    DROPPED_INTO_ZONE,
    DROPPED_INTO_ANOTHER,
    DROPPED_OUTSIDE_OF_ANY,
    DRAG_STOPPED
}
declare enum SOURCES {
    POINTER,
    KEYBOARD
}

type Info = {
    trigger: TRIGGERS;
    id: string;
    source: SOURCES;
};
type DndEvent = {
    detail: {
        items: Array<object>,
        info: Info
    }
}

and exported DndEvent.
I couldn't find a way to make JSDoc generate exactly these type definitions automatically (ex: make it create an actual enum, even with the @enum annotation). Looks like if we don't go with full type integration, it is best to create the definitions file manually.

In the Svelte app I had to add a global.d.ts file that looks as follows (will need to be added to the README if we go forward with typescript):

declare type DndEvent = { detail: import('svelte-dnd-action').DndEvent };
declare namespace svelte.JSX {
    interface HTMLAttributes<T> {
        onconsider?: function(DndEvent): void
        onfinalize?: (e: DndEvent) => void;
    }
}

tsconfig.json needs to be edited to include it "include": ["src/**/*", "global.d.ts"], (when i've put it in /src vscode couldn't see it).
Notice: No matter what I tried, within the svelte component it always treats e as type any, therefore I explicitly added the type to the handler function in the component that consumes the library:

function handleSort(e: DndEvent) {
        items = e.detail.items;
}

Otherwise, it seems to work normally.