I recently moved to OpenSuse 42.3 and started using KDE. I've been playing with the Activities feature but was unable to set it up the way I wanted. I want to have a Development activity where Konsole, Visual Studio and Data Grip are opened. That is, when I move to that activity I have those 3 programs already opened.
Is this possible ? I tried different things but nothing worked.

When you re-open an activity, whether the programs reopen as you left them depends on the individual program and falls into one of three categories.

1: Opens again exactly as you left it, with files open.
2: Open again but empty with no file open.
3: Doesn't open at all.

Konsole falls into category 1 because it's a KDE app as does Kate and Dolphin.

I have never used the other two but it's most likely they fall into the other two categories as third party apps generally do.

And is there a way to set applications to start automatically when I open an activity ? If not, how do activities improve my workflow in comparison to virtual desktops ?

In a lot of cases the application will start automatically. If the application you want to use does not, then you could always do something like add the "quick launch" widget to the desktop so you can launch those specific applications quickly or you could pin the applications to the taskbar for that specific activity (right click and use the pin sub-menu when the progam is open).

If you are fine with just leaving the apps running in the background when you aren't using an activity, you can just switch away from the activity and then switch back when you want to work on that stuff (i.e. don't stop the activity in the activity manager unless you want to close the apps on that activity).
Of course that doesn't solve the problem of the apps not being started when you log in (I have this problem with Netbeans), but having a couple of shortcuts for them on the desktop or pinned to the panel as Clancularius said helps to be able to load them up quickly when you want to start coding.