Will the more iterations the Mosek has, the better the result of the problem it is solving？
When I use the default iteration of Mosek to solve my optimization problem, the matlab code takes too long to run.
Mosek uses as many iterations as it takes it to reach termination criteria. Changing this parameter will not get you anywhere, if you restrict it too much you will simply get a premature very poor solution.
If the solver is stalling or you have other issues then please contact Mosek support with a task file or provide some other fully reproducible example.