It's not the internet, it's all the checks Windows does with files and packages. Potentially these reasons: Constant verification of Discord's certificates, checking data downloaded for viruses, checking for updates, checking for your ownership of the client app etc. before giving you access.
By far the biggest issue with Windows' performance is its antivirus, known in the Task Manager and Resource Monitor as msmpeng.exe. Appreciated, but not wanted. Not when it slows many programs' opening or calculating performance and reads so many goddamn bytes on all your drives per second that it makes using Windows with a HDD impractical.
Their overbearing attempts to farm, control and fleece users for marketing data, DRM purposes and money, respectively, are the biggest issue with the company. It's classic corporate capitalism, to reduce the service quality while maintaining income, and to fuck over end users while protecting business interests. For these reasons, pertaining to Microsoft, I'm out.