With a P2P/mesh VPN solution this is pretty standard yes.
But with a traditional VPN it's not. If I transfer a file to a colleague when we're both in the same coffee shop and we're both connected to Global Protect (terrible traditional VPN) it will go all the way to the server and back.
So it's a value prop of the type of VPN. Not the transfer software per se.
I don't understand how in this day and age that this is a value proposition. Shouldn't all transfers occur on the fastest (or near fastest) path?