How do so many high end oscilloscopes support Gsps when most microcontrollers have ADC rates at Msps?
They use purpose build ADCs with the capability of sampling in the regions of Gsps. If they need more, there is a clever scheme of using multiple ADCs at the same time with a very well defined time delay between them, so that two ADCs work as one ADC with double the sampling rate.
For this to work properly, the analog bandwidth of the ADC must be higher than the sample rate, which might seem strange at first (aliasing) but the signal should not be distorted, and the digital bandwidth of the complete system will define the Nyquist frequency. The scheme can of course be enhanced to use more than two ADCs for a single channel to increase the rate even further.
On many multichannel oscilloscopes you will notice that using certain channels together halves the sampling rate. For example using Channel 1 and 2 on my Keysight oscilloscope will half the sampling rate while using Channel 1 and 3 will not. The reason being that the ADC for Channel 1 and 2 can work together as one and Channel 3 and 4 can work together as one.
You typical microcontroller will also be much too slow to handle all the data coming from those ADCs in. So you probably find a FPGA or ASIC as the next step in the signal chain which does the signal processing.
The ADCs will cost you hundreds of dollars alone, without anything supporting it. The only microcontrollers in that price region I've seen where military, space or extreme environment stuff.