I can download a 4K film in about 10 minutes and box sets in about 30-45 minutes and I dont ever use VPNs, never have. I dont plug my PC into the TV to watch either...I transfer everything via USB 3.1 to a hard drive and plug it directly into the back of my tv.
How big is that 4k film? Some 4k movies are compressed down to 15 GB or even less. That's pointless. A decent 4K movie file will be 60-100 GB in size.
If you were downloading at a sustained speed of 1 gigabit / second you can grab a 60 gigabyte movie in about 8 minutes. 100 GB would take 13.33 minutes. I doubt you would ever get that kind of download speed in the real world. Most ethernet adaptors max out at 1 gigabit / second. You can get a 10 gigabit / second network adaptor or faster but then you need an internet service that matches those speeds. And the service sending the file on the other side needs to match those speeds. You can have the fastest service available but if the file on the other side sits behind a 56k modem you are going to have to wait days or months to get it lol!
Also why are you even bothering to plug your drive into your TV? Just stream it over the network to a Kodi box like Nvidia Shield or Amazon Firestick 4K Max. Both run on Android TV and are great for watching 4K content. Just download the movie to a hard drive that's connected to the network, turn on your TV and start watching the content!
Many routers allow you to plug a USB drive into them and share over the network. Or you can share via your computer. The drives will go to sleep when you're not watching TV.