@Alberto Mijares (Tantius) I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to "Accept " the answer.
Issue Type : Performance (Opening a Excel file in Azure File Shares takes a long time)
Opening a 16 MB Excel file and a 100 MB PowerPoint file from Azure File Shares on on-site machines takes several minutes, while copying the files via PowerShell completes in less than 10 seconds. Opening the files locally or from a NAS is nearly immediate.
Solution: Azure Files is not recommended for managing large files (19 MB) as a mapped drive. It takes over 2 minutes and 30 seconds to open a file despite having sufficient bandwidth and no Storage account throttling. In contrast, Robocopy takes less than 10 seconds. Microsoft support mentioned that Office is not multithreaded when opening files. Their sole recommendation was to use file sync, which is not aligned with our goal of minimizing on-site hardware requirements.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.