My qustion is that is there any shortcuts to switch between editors and the integrated terminal? Here I can only use the CTRL+1, CTRL+2... to switch the open editor tabs.
ctrl+` toggles the terminal by default, there is also the workbench.action.terminal.focus command which you can add a keybinding for if you just want to focus it.
To clarify since Markdown got in the way, ctrl+backtick: i.e. ctrl+` toggles the panel.
However, not sure about switching back to the editor yet.
If you want ctrl+` to toggle back and forth, add this to your keybindings.json:
{ "key": "ctrl+`", "command": "workbench.action.focusActiveEditorGroup", "when": "terminalFocus" },
{ "key": "ctrl+`", "command": "workbench.action.terminal.focus", "when": "!terminalFocus" },
Updated question to add to this thread. Is there a way to click between terminals rather than moving the mouse to the selection dropdown. Similar to how iterm allows you to hold cmd+ ( 1, 2, 3, 4, etc) Obviously using cmd and number on vscode doesn't work the terminal, it added splits and filters between left, right and middle.
@ModernWebService you can add custom keybindings for these:

These entries will create RStudio-style Ctrl 1/ Ctrl 2 switching.
{ "key": "ctrl+1", "command": "workbench.action.focusActiveEditorGroup", "when": "terminalFocus" },
{ "key": "ctrl+2", "command": "workbench.action.terminal.focus", "when": "!terminalFocus" },
For our fellow azerty user, ctrl+7 will be usable instead of ctrl+backtick or ctrl+猫.
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If you want ctrl+` to toggle back and forth, add this to your keybindings.json: