Viewing VGA to USB input on a MacBook Pro
Easy enough to do with Microsoft Remote Desktop, available for free on the app store.

If you plug an Ethernet cable between the two computers they should negotiate a network connection and you will get gigabit speeds.

Note that this is different for what you can do with an iMac where you plug a Display Port video cable into the iMac and use the iMac as just a display. To the best of my knowledge Apple does not support this on its portables, only the iMacs so you are limited to whatever Microsoft Remote Desktop will support using RDP.

It is possible that there are other apps that might do a better job. VNC is a 3rd party open source remote control app, similar to Microsoft Remote Desktop except you will have to install it on both machines. There might be others that give you better performance but the MS app and a VLC app would be the place to start.