There have been a couple of old attempts to enable parallel compact block downloads, see #9447 and #10984. There are additional notes in #16172.

The idea is that we currently might request missing transactions for a new block from the first peer to announce the block to us; but if that peer is a miner (or close to a miner), that peer might be busy (eg it might be in ConnectTip), and not able to reply quickly, while some other node has meanwhile obtained the block and is able to quickly give you the few transactions you're missing.

Therefore, at some point we should pick up the patches in those earlier PRs, or otherwise solve this :)