Interesting, I've only ever run into these kinds of speed issues on the iOS client. I've found the web client (and usually the mobile client) loads a large inbox (hundreds to thousands of messages) much, much faster than Gmail; in fact, that was one of the first things in testing that told me I'd like using it.

I will say that Gmail handles threading better, as you said. Fastmail goes for a more traditional native-client-like approach; it didn't take long for me to switch back to that paradigm, but someone who has only ever known Gmail would definitely see it as a pain point.