VPN Service Server Speed Question

Hi i was wondering if someone can educate me on this question. I have tried several VPN services, so far im liking Airvpn, i had ExpressVPN but service slowed down on me with their NY servers. Anyway my question is, if i chose a server(example Chicago server now on AirVPN), is it correct that the closer the server the faster the speed, why i'm asking is i have FIOS 165 MB download and 65 MB uplod speed but i only get 20 MB download and i do get 40 MB upload, but the download is so slow. I tried their Denver server, way too slow, so in using any vpn servers, does the proximately of the server matter, or shall i go thru all their servers to see whats the fastest for me. Thanks all.