I don't understand why fitness level never updated after first calculation.
Well, I had some "soft" trainings that calculated a "high" value of 39.4 (which in reality is medium/low). After that calculation I had at lest other 5 trainings, very hard, classified as "Strenuous" but the VO2 max remained always the same... I don't expect it to jump at stars or something like that, but how is it possible that it never changed of a small 0.1?
For the amount of time that this feature has been available in the Microsoft Health Dashboard, there probably hasn't been enough data to change your rating. I just read a bit about VO2 max and it looks like this would explain why you haven't seen any change in the score yet, depending on the accuracy of your initial results.
These scores can improve with training and decrease with age, though the degree of trainability also varies very widely: conditioning may double VO2 max in some individuals, and will never improve it in others. In one study, 10% of participants showed no benefit after completing a 20-week conditioning program, although the other 90% of the test subjects all showed substantial improvements in fitness to varying degree.