The fundamental difference between a vector mask and a lasso tool is that a vector mask can change over time. The lasso tool is for cutting out a still image, that's why it's in Photoshop. With a vector mask your can create a mask and the move down the timeline 30 frames and AE will transform the mask between those points. If the had and used a lasso tool you would need to cut out the shape 30 times for same result - no thanks.
If you're trying to do roto work learn to work with the pen tool. If you really want to use the magnetic lasso tool export an image sequence and cut it all out in Photoshop.