Have you tried the DisableLoadSymbolsForLibraries?
The open/save dialog loads a big amount of dll. (win32/64)
The exact amount depends on other stuff installed on your PC.
E.g., If you have tortoise svn/git installed they install so called "shell handlers", allowing them to add icon overlays, or special context sensitive pop-up menu entries.
A lot of apps on windows do that (image viewers, pdf viewers, editors, some offices ....).
All of those are dll, and because the open/save dialogs are basically a "windows explorer", all of those dll are loaded.
If gdb sees a dll being loaded, gdb inspects the dll. That takes time.
=> AFAIK that is the main slowdown.
I have never tested, if disabling the event log for loaded libraries/modules has any effect on this delay. Tools > option > debugger > event log