DNN or any other ASP.NET based web application is no different than your desktop applications or games that take time to load on your PC before you can use them, except DNN is loading on the server and stays active until released from memory. As result, the initial page load can be delayed by 10 to 15 seconds. This usually not a problem for sites that are constantly active with traffic, all you need is one page hit per 20 minutes. Even the less popular sites receive this much traffic from various search engine spiders and occasional visitor.
The “slow” part of DNN is the result of the fundamental ASP.NET technology architecture. Unlike PHP or ASP scripted web applications ASP.NET does JIT (Just In Time) compilation of all application resources before first page is served. This process occurs every time you access the IIS site that has not been active for more that 20 minutes. Once fully complied, the DNN page load is much faster that any current scripted technology allows. In addition DNN architecture is very modular, this flexibility allows 3rd party developers to create various plug-n-play modules that can be easily integrated through the web based GUI interface without need to modify the source code of the base application. In my opinion due to flexibility DNN offers, it is by far the best CMS currently in existence.
If the page load speed is the most critical concern for you, the static HTML sites will by far outperform any CMS system in existence. Obviously, your browser render time will vary based upon bandwidth availability and CPU load on the client, but that is an unrelated concern.