Windows 10 is in fact doing something when you click the Wi-Fi icon in the taskbar. That's the moment it chooses to actually poll for networks. This ties up your Wi-Fi card and dramatically increases ping for about two seconds, in short pulses.

The UI should instantly display the previously known APN list while loading the new one in the background. Microsoft has multiple teams researching asynchronous programming, but their work doesn’t seem to make it to the desktop.