MFSK vs FSK: Why BER decreases increasing the symbols
(I assume maintaining the same symbol duration) 


nope! That is usually not the case, because it would be unfair – if you send the same number of symbols per second, you'd get twice as many bits per second using 4-FSK rather than 2-FSK.

Therefore, the comparison is typically done with identical Bit Energy rather than identical Symbol duration (which would be, for constant envelope signals, be equal to identical symbol energy).

Hence, with higher modulation order, you get less symbols per bit, and hence, for constant $E_b$ more $E_{sym}$.

Now, errors happen on a symbol level – and a Symbol Error Rate of $r$ doesn't imply a BER of $r$ – in fact, a wrong symbol has at most its worth in bits in wrong bits, but usually less (see: Gray code), so $\text{BER}\le\text{SER}$ generally holds, and one can in an uncorrelated noise scenario be almost certain that $\text{BER}&lt;\text{SER}$.