1. Keep it 'live' as this describes type of connection to Tableau Server (and rest of data model is abstracted away)
2. There are multiple reasons why refresh on Desktop could take longer but in your case it's probably hardware and networking combination (i.e. Tableau Server has more capable hardware and it's located 'closer' to your database).
Hi Karthik - When connecting to a extract Desktop sees the connection as a 'live' connection to your extract so you want to keep it live. As Dmitry has stated there can be many reason why extract refreshes take longer on your desktop vs. server (CPU, Ram, networking, etc). Check out this info for extract tips: Tableau Data Extracts - Tips, Tricks and Best Practices | Tableau Software