Many programs are available both in .exe form and in UWP form from Microsfot Store. From a security point of view, shoud I prefer to download from official website .exe,checksum it, check for https connection etc. or just install it via MS?
If it's a huge website, well known, then they probably have good enough security, even a hash maybe, and you won't download a compromised version. If it's a not so well known website, then you are at risk. From what I recall, when you upload an application to Microsoft Store, they check it for malware and only the owner could upload a new version (scanned as well). IMO Microsoft has a pretty good security. This is the way I would choose.
It is mainly a question of trust. If you think that you can be more confident in the original site to have more thoroughly tested their own program than what Microsoft does before including it in its store then you should take it from the original site.
For example LibreOffice which is a concurrent suite for Microsoft Office is not available from the Microsoft Store (!). But is still has a nice reputation.
Another point to considere is the disponibility of recent versions. But except if it was to fix a security flaw, we are no longer in a security question here...