Welcome to the Microsoft Q&A (Preview) platform. Happy to answer your question.
That sounds like a standard response time based on my experiences. The update-azVM command reaches out to the API and puts in the request and waits for the server to respond. So, it's not really about your internet connection but more of when the Azure fabric sends a response back once it confirm the VM has been updated.
Running via Azure Cloud Shell will decrease the time it takes to get a response as you found. This is because that PowerShell instance is also hosted on Azure.
Otherwise, it sounds normal when running commands on a local machine. No way to speed it up from you end.