As per the FAQ, taint vulnerabilities (such as the one you mentioned) are not detected in SonarLint either: they rely on a taint analysis engine that is currently not compatible with the level of performance we want to achieve in SonarLint.
This being said, if the code is analyzed on SonarCloud, taint vulnerabilities detected by the server should be highlighted in the local code, provided that SonarLint can still find the location.