It's not about speed directly; By increasing MTU you're reducing overhead, which is data that is responsible for the proper delivery of the package but it's not usable by the end user; This can have a increase in speed but only for heavy traffic;
Also, if you increase MTU, you're prone to increase the number of packets that are dropped (since you have a fixed bit error probability and more bits in a packet), eventually causing a decrease in performance with resent packets, etc... So it's a compromise between overhead and data integrity;
I guess that it is more of a interface configuration than something you control with a program; So it's better to stick with 'ifconfig' command or find the equivalent solution for Windows.