How to connect VDD_SDIO on the ESP32?

If you are using the ESP32 chip (NOT the ESP32-Pico series!), you should connect a 100nF to 1uF capacitor between the VDD_SDIO pin and GND even if you are not using the SDIO interface. This is because the ESP32 the VDD_SDIO supply for various internal functions besides the SDIO interface. For reference, see the ESP32-DevKitC V4 Schematics

If you are using the ESP32-Pico series, you should NOT connect VDD_SDIO. This is since the WROOM module and Pico module already has a capacitor connected internally, so connecting an additional capacitor would be redundant and could potentially cause issues. For reference, see the Pico evalboard, where Espressif themselves leave the pin unconnected ESP32-PICO-KIT-1 Schematics.

In any case NEVER connect VDD_SDIO to 3.3V directly, as this can damage the chip if the internal LDO is configured to supply the VDD_SDIO pin with 1.8V via the MTDI strap.