There are advantages and disadvantages to both vector and raster graphics, but as far as I know Construct 2 only supports the latter (someone please correct me if I'm wrong). I do all my art in Photoshop as it allows for far more flexibility in style, the hardest part is thinking like a game developer (making sure your images are power of two sizes etc). So yes, Photoshop is ideal for making art assets for most games, I would only ever use vector graphics if I were aiming for a specific style or needed to manipulate the images in certain ways (eg scaling without image degradation) or for other technical reasons such as size/memory usage. Flash is built on a vector graphics engine so it makes sense that flash games would use vectors, but outside of flash games it isn't the norm.