It works with vanilla vim (and MacVim) these days too. "Vim 9.0.0185 or newer" is mentioned in the Getting Started section.
I was about to install it a couple of years ago, but then started thinking about the privacy threat model.
I realized that having a "copilot" in my everyday editor (not just for public open source coding!) is never gonna fly. I may end up accidentally uploading any file I open to a 3rd party for tab completion and "AI stuff". Even if I can configure it to hopefully ignore some directories, too risky for me. With a separate editor just for coding (Zed in my case), the risk of accidentally opening and uploading a wrong file would be much lower for me, as I'll keep using vim without any AI for everything other than OSS coding.
Edit: I'm sure there's an option only manually load the copilot plugin when you explicitly want it, but it still makes me too uneasy.
[1] https://github.com/github/copilot.vim