Copy from XD & paste into Sketch (not raster but vector)
Currently, it's just pasted as a raster image...
I agree, as I am also having the same frustration going from XD to Sketch, but I would expand this to "Copying vector objects from XD should copy vectors to the clipboard".
Even copying a vector shape from XD to Adobe Illustrator results in a bitmap image being pasted into AI. Whereas copy and paste from AI to XD works perfectly. Apparently XD does not support copying vectors to the clipboard in a way that can be used outside the app. The AI aspect is addressed here: https://adobexd.uservoice.com/forums/353007-adobe-xd-feature-requests/suggestions/13118382-copy-from-xd-paste-into-illustrator-or-photosho
...But I would like to see a vector clipboard format that would allow copy and paste to both AI and XD (since they are already compatible with each other), and thus deal with both issues at once.
Please also check out the Export from XD to Sketch story: https://adobexd.uservoice.com/forums/353007-adobe-xd-feature-requests/suggestions/15052797-export-from-xd-to-sketch