@Sumarigo-MSFT Thanks for the fast reply,
The "amount / how much" data we are downloading doesn't really matter, the speed is slow whether I try to download 500mb or 5gb. I've performed my tests initially with files between 50mb to 5gb.
I tried the AzCopy and found out there is a benchmark integrated in it.
The "upload" speed is very fast, around 500-600 mbps (through the P2S VPN).
The download is very slow, around 100mbps, which is faster than I was getting "manually" with the Windows Explorer but it is to be expected with the benchmark.
The benchmark seems to be accusing the network speed, which shouldn't be a problem. My internet connection is fast enough, and I am able to download at much much faster speed between my PC and a virtual machine in azure, through the P2S VPN.
I tried running the benchmark through the S2S VPN and it is going around 500mbps too. The problem seems to be limited to the combination of P2S and Azure File. Any other combination (S2S + Azure File, P2S + VM, etc...) yields fast throughput.
Finally, I have also tried uploading / downloading with azcopy in a blob in the same storage account, and the speeds are very high in both the download and the upload, leading me to believe that the Azure File is the problem. Which fits with the other tests, Ex. I can download fast when downloading from a VM in the same virtual network in the same subnet. What I do not understand is why it is fast to download from the Azure File storage account when going through the S2S VPN.
We do not have any support plan indeed, which is why I came to here first!