The command "jumpTo.lastCursor" does not exist in VSCode natively and therefore doesnt work without an unspecified additional plugin. This is the correct config:

  // allow to exit multi cursor mode with escape
  {
    "key": "escape",
    "command": "runCommands",
    "args": {
      "commands": [
        "editor.action.focusPreviousCursor",
        "removeSecondaryCursors"
      ]
    },
    "when": "editorHasMultipleSelections && textInputFocus"
  },