Can we use TWebUpdate component to simply copy file via the web ( not exe ) with https et sftp ?

I don't see why we can't use it for file transfer. 

may be one because the file downloaded is always copy to the folder where the application is launched ?

If the only thing you want to do is download files, you can use TWebCopy

Yes, thanks, I will use TWebcopy 

Is there the same component for fmx ? ( TWebupdate and TWebcopy ) or is it planned ?

At this moment we do not yet have a direct equivalent for FMX, but it is on our wishlist of things to do yes.