When we tested the loading speed of a large assembly, we found that the Xeon
Gold 5217 Processor is not as fast as the Core 
i7-7700K. The version is SW2018. Is our setting wrong?
We need to load large assemblies quickly. Now, I can buy is: Intel Core i9-9900K series processor. Is this the best chosen?
Your thoughts are correct, open speeds for SOLIDWORKS mainly depends on your storage device and your CPU. When buying a CPU for SOLIDWORKS you should prioritize faster frequencies. The i9 you have shown has a maximum frequency of 5.0 GHz so this would be considered one of the best processors for SOLIWORKS. I should make sure you also have a fast SSD as your storage device to decrease load times. There are changes you could make to the assembly if you wanted to speed things up further.
You can look at specific testing done by Puget systems if you would like.
https://www.pugetsystems.com/labs/articles/SOLIDWORKS-2019-Intel-CPU-Performance-1347/