In this paper, we present the first known example of a locally checkable labeling problem (LCL) that admits asymptotic distributed quantum advantage in the LOCAL model of distributed computing: our problem can be solved in $O(\log n)$ communication rounds in the quantum-LOCAL model, but it requires $Ω(\log n \cdot \log^{0.99} \log n)$ communication rounds in the classical randomized-LOCAL model. We also show that distributed quantum advantage cannot be arbitrarily large: if an LCL problem can be solved in $T(n)$ rounds in the quantum-LOCAL model, it can also be solved in $\tilde O(\sqrt{n T(n)})$ rounds in the classical randomized-LOCAL model. In particular, a problem that is strictly global classically is also almost-global in quantum-LOCAL. Our second result also holds for $T(n)$-dependent probability distributions. As a corollary, if there exists a finitely dependent distribution over valid labelings of some LCL problem $Π$, then the same problem $Π$ can also be solved in $\tilde O(\sqrt{n})$ rounds in the classical randomized-LOCAL and deterministic-LOCAL models. That is, finitely dependent distributions cannot exist for global LCL problems.