I haven't been able to reproduce this particular issue in my own SDP app. I took my existing app, added an Ext.Ajax.request call to a remote web-service to my app, to be executed when my Main controller's onLaunch method was executed. This returns results in reasonable time, 170ms in my case. Then I altered my index.html file to pull in a remote resource via a script tag. This took about 400ms to return. I then tested an existing web app that happens to pull in that same resource and compared the results and found that the time taken to load that resource between the two apps to be within 50 ms of each other.
I am using SDP 1.2, which version are you running? Are your outbound connections going through a proxy layer?