The problem is on server side, not client side.
My internet speed is 80 Mbit/s, and I reach this speed, when downloading from different web sites or Origin, Steam, UPlay, whatever and also from Windows Update and Microsoft Store but not when downloading from the in-game installer or marketplace. It seems that that the download speed is limited per connection.
In my case the game is downloading from IP 13.107.213.60.
In developer settings in MSFS I found a link from where new SDKs can be downloaded. This link contains the domain “pf-cdn-content-prod.azureedge.net” and this domain is resolved to above mentioned IP address when I ping it. When I use the full link to download the SDK (MSFS_SDK_Installer_0.12.0.0.exe) in Firefox, then I get about 1.2 MB/s download rate.
At the same time I downloaded some World Update from Marketplace with about 1.6 MB/s, so in total about 2.8 MB/s from this domain/IP.
I guess it is not a general problem, maybe only an EU problem. Maybe it works fine in the US. Maybe it depends to which IP the above mentioned address resolves.
Are there some people who have no problem with download rates or have high download rates? Can you ping pf-cdn-content-prod.azureedge.net and post the IP address including your download rate here?