Nah, usually WiFi but I have tried both being connected via ethernet. It's possible the bottleneck is either devices CPU or something as it maxes out at around 600 Mbit/s compared to over 2000 Mbits/s over internet.
I don't have two great devices to test with but my bet is on the CPU being the bottleneck. I have only used the feature between my desktop (5900x, 2,5 gigabit connection) and a steam deck (a comparably bad CPU, 1 gigabit ethernet or WiFi)
The steam deck also caps at around the same speed when downloading from the internet while the desktop can download at near 2,5 Gigabit speeds.
I think it's because Steam compresses the data before sending it and limits CPU usage. I still use local file transfer between desktop and Steam Deck because rarely in much of a rush.
Same, I'm still too cheap to upgrade the LAN to 10 Gbit/s. I could theoretically get old stuff from work, but that's all 19 inch rack mountable and loud...
Lan are usually 1 gigabit. He must have a serious connection. It's more likely he has a slow hard drive on the host or stores the data on USB2.0 connected drive.
Same for me, LAN is 1Gb, my internet connection is 5Gb.
Of course none of the devices get more than 1Gb, but that means than LAN or Internet doesn't make a difference. Especially for Steam games that get downloaded from a very close CDN proxy (probably hosted by my own provider).
Being someone with a bad internet, this is actually quite a useful feature. It saves me from either having to set up an smb/ftp share on a computer or backing up a game to a USB drive to restore it on the other computer if I don't want to wait 10 hours for any modern game to download.