VBA Very Slow Performance using objects with scripting dictionary

Speed issue

tags.Items does a copy of the array of items. So, you are copying that array 32821 times which of course is slow.

Replace this:

For i = 0 To tags.Count - 1
    If tags.Items(i)(2) = 0 Then   'This is the slow part. I need the validation for my case usage.
        linhas(CStr(i)) = 1
    End If
Next i

with this:

Dim arrItems() As Variant: arrItems = tags.Items
For i = 0 To tags.Count - 1
    If arrItems(i)(2) = 0 Then
        linhas(CStr(i)) = 1
    End If
Next i

Other issues

Best practice is to have Option Explicit at the top of each code module. This forces you to declare all variables. In your code there are 11 undeclared variables which are all defaulted to Variant: strofx, arquivo, L, f, loops, ntags, achou, x, fim_tag_i, chave, nlinhas

Imagine having Dim cake as Long in your code and then somewhere later you can do a typing mistake and use cakes instead of cake. Without Option Explicit your code will compile and you won't even know why it's not working correctly.

To make this into a habit, turn on 'Require Variable Declaration' under Tools/Options:

Use Stop only for debugging. Never for production code.

I believe your question regarding speed is answered by @CristianBuse. In addition to the excellent recommendations that came along with his answer, I wanted to suggest one more improvement un-related to performance...

Your code opens a Scripting.FileSystemObject and TextStream object and does not guarantee the destruction of both if an error should occur. Even though the provided code is "the full code simplified", I'm suspecting the full code has the same issue. So, rather than:

Sub ajusta_ofx_teste()
    Dim fso As New Scripting.FileSystemObject
    Set arquivo = fso.OpenTextFile(strofx, ForReading)    
    
    '... preparing for the While-Wend loop

    While Not arquivo.AtEndOfStream
        '... loop code
    Wend
    nlinhas = i
    arquivo.Close
    
    '... the 'slow part'
    
    Set fso = Nothing
End Sub

It would be better to guarantee that arquivo.Close and Set fso = Nothing are both executed in the event that an error is encountered. To do so, the code could be re-organized as follows:

Option Explicit 'The importance of ALWAYS declaring this Option cannot be overstated

Sub ajusta_ofx_teste() 'macro para converter arquivos ofx em xml
    Dim strofx As Variant
    strofx = Application.GetOpenFilename(MultiSelect:=False)
    
    If strofx = False Then 'User does not select a file
        Exit Sub
    End If
    
    Dim fso As New Scripting.FileSystemObject
    
    Dim arquivo As TextStream
On Error GoTo ErrorExit
    Set arquivo = fso.OpenTextFile(strofx, ForReading)
    
    ProcessTextStream arquivo
    
ErrorExit:
    If Not arquivo Is Nothing Then
        arquivo.Close
    End If

    Set fso = Nothing
End Sub

Private Sub ProcessTextStream (ByVal arquivo As TextStream)
    '... Declare necessary variables, e.g., linhas, i, tags, ...
    
    While Not arquivo.AtEndOfStream
        '... loop code
    Wend
    nlinhas = i

    'The recommended code for the code formerly known as 'the slow part'
    Dim arrItems() As Variant: arrItems = tags.Items
    For i = 0 To tags.Count - 1
        If arrItems(i)(2) = 0 Then
            linhas(CStr(i)) = 1
        End If
    Next i
    
End Sub

Now, if an error occurs during ProcessStream, the Scripting.FileSystemObject, and the TextStream are properly cleaned up.

First of all, thank you to @Cristian Buse for the clarification and answer.

The code supplied works perfectly but i went with a slight different approach. I tested both and this last one is a bit faster.

For Each strkey In tags.Keys()
    If tags(strkey)(2) = 0 Then
        linhas(tags(strkey)(0)) = linhas(CStr(tags(strkey)(0))) & Replace(tags(strkey)(1), "<", "</")
    End If
    i = i + 1
Next strkey

The total run time was 16 seconds with Cristian's method and 14 seconds with this method.