caching WP helps, but in the end, WP bridge is, indeed, incredibly slow. I've seen this run from 15s all the way to to 3 minutes myself.
It's likely that the cause of this is the fact that they're not utilizing the local keys properly. I've seen more than one instance where the key should have been stored in the DB, but their servers were down, causing the server to think the key was invalid, thusly throwing me into the default 'five' theme. Frustrating to say the least.