Dunno if this helps anyone but we redirect our Start Menu but never experienced the slow logon part, for us it was a case of getting it working in that 1st logon worked then wouldn't work again. Sorted that then had mixed start menu from All users and our predefined one, simple policy change sorted that. The only thing i can maybe suggest on the slow side of things is if you still run mandatory profiles like we do rather than use the new options in group policies under User Configuration>Preferences>Control Panel Settings>Start Menu to tweak the look and what shows do it in the profile and leave that policy empty. Works perfectly for us no slow speeds and just leaves it as a simple redirect and nothing else.
