The delay is caused by Windows needing to store the start menu in the memory and is a normal function. Once memory resident it will open instantly. Your system will be optimised to give memory priority to programs. You can change priority but it hardly seems worth it.
Some skins are more complex than others. Darkling uses 24bit colour and 150 pixels per inch resolution and the start menu bitmaps are full size - it's the only way to get those lovely smooth tones. Standard XP uses 8bit and 70 ppi with small tiled bitmaps hence smaller memory footprint.