Some widgets just take forever to load on Windows. In my particular case, it's wx.Choice
Robin Dunn himself has blamed this on Windows and not wxWidgets (https://groups.google.com/forum/#!topic/wxpython-users/gODkIvyj-nU)
I don't buy it. I can create a similar UI in tkinter and it will be nice and fast on Windows.
I will create demo programs of the same interface in both and then take those to Robin on stackoverflow. Other than asking the creator, I don't have any ideas for fixing this.