Just FYI, there’s some on-disk / CPU processing that happens at the very beginning of a download much like the “prepping” phases at the beginning of a Battle.net or Steam download. It’s just that there isn’t a separate UI shown during that phase.
Once you get past the first 50-100MB or so, it should speed up to be just as fast as a Steam download.
If that’s not the case, please PM me since I work on the store services which distribute content to Xbox and Windows.