Software can't give you faster download speeds. If I get 10 Mbps down from my ISP I'm not going to somehow download at 50 Mbps. yt-dlp, steam, and firefox already max out my connection when they download something.
It really depends on the cause of the bottleneck. Sometimes you need capabilities on both ends though.
Also, while I'm nitpicking: "xdm" is and will always be the X Display Manager. :(
Steam uses BitTorrent, which is built to parallelize downloads - effectively implementing what download managers do. I think Firefox these days also does clever stuff behind the scenes. The result is downloads that complete faster than before, even though the theoretical max speed of any given connection is the same.
Download managers are somewhat old-fashioned simply because modern software learnt from them and now tries their tricks out of the box.
No, it downloads encrypted chunks from Steam's CDN.
> Multi-threaded fragment downloads: Download multiple fragments of m3u8/mpd videos in parallel. Use --concurrent-fragments (-N) option to set the number of threads used
Not all sites are willing to max out your pipe with a single connection. Making multiple connections to those sites often gets around that.
I've been stuck with a throttled 10mbit fiber connection before, and still had times where sites would throttle me more than that. Now that I have a gigabit connection, it's a much more common problem.