I've experimented and seen the slow process that you describe.
This has nothing to do with whether KHPRO produces real cdg files, it does.
Some players that utilize mp3-g files refer to the file as "cdg."
These are condensed files. When you play a "real" cdg file, the player wants to play it but is not programmed to play it.
If I change the extension to "BIN" instead of "CDG", the player doesn't have the problem.
These cdg files are a little bit bigger than wave files, about 30-50 mbs for a typical song
The players that I have that are slow on KHPRO/cdg files curiously enough don't have the problem if the files are called ".bin" You can change it back and forth without causing a bad effect. That has been my experience.
Good Luck