We have 8Mb in the central place (hub).

We have 4Mb satellite link in the spoke. We downloaded a file in the spoke place via proxy (via VPN tunnel) and we downloaded it without proxy (via internet).

OK - perhaps you should look at the proxy!!

To go from a remote site, to a central site (over the VPN via the internet) then thru the LAN at the central site to a proxy server, then back out to the internet......will cause you a few headaches, I have had them before. Check the proxy server and the traffic flow.

What are file transfer speeds from internal to internal? over the VPN no internet files?

We used proxy and intranet website (in central site) for download files, it's too slowly in both cases. We used VPN in both cases.

Then I would suggest that you need to look at your central site config and topology.