Just tried copying a 20GB file to my Windows desktop from a mounted Samba share through gigabit ethernet (nvme on both sides). Explorer, Copy-Item and robocopy all saturated the connection with no issues.
There's definitely something off about OP's setup, though I have no idea what it could be. I'd start by checking the latency between the machines. Might also be the network adapter or its drivers.
rsync being that much slower makes no sense since back when I used windows I rsync was saturating 1 gig easily, this has to be running on a very slow pentium or something.
My first thought would be some kind of "security" software (maybe even as simple as windows defender) inspecting the files as they're coming in, which might be done for any process not on some allow-list. And maybe the allow-list is basically just "explorer.exe". And maybe it's faster at checking some processes than others.