No, in fact, on the Axim, I found the CF access to be faster (when playing videos, CF cards give higher frame rates). I tried on the SD also, and I would have tried the main memory if I had enough to spare. I dunno, its not so terrible I guess, maybe it was like that on the original too.
I'm having some other issues though- at certain points in the game, I can't figure out how to exit a screen. The two times this has happened so far is when I try to play the Sam&Max car bomb sub-game, and when I use the viewing station in the diner atop the world's largest ball of yarn. Now, its been a while since I played the original, so I don't remember what you're supposed to do to get out of those screens, but I think some sort of bug may be not allowing me to exit. I already know not to use the driving/sign jumping sub-game, I read that before trying this.