Request

Using WinHttp.WinHttpRequest

This is built into Windows.
Reference - Microsoft WinHTTP Services v5.1
Supports proxy credentials

Using MSXML2.ServerXMLHTTP

This uses a dedicated HTTP client stack

Using MSXML2.XMLHTTP

This is on its way out
Uses the browser HTTP stack (WinInet), which introduces quirks that can break JSON API calls.
You want the simplest possible GET request
You don't need advanced headers or authentication
Reference - Microsoft XML v6.0
Supports proxy and server credentials