This is pretty much always going to be the case because the database query is much more complicated to filter by your subscriptions rather than the completely unfiltered views that are just sorted a certain way.
I don't have direct experience working in the lemmy codebase, but I do in piefed, and this is just an inherent limitation of how databases work. Basically, there is a big table in the db with all the posts that the instance knows about. As an example, let's say that you want to look at your Subscribed feed and sort it by New. First, the database sorts all the posts by newest first (this step is very quick). Then it will filter out all the entries that are not in a community that you are subscribed to (this step is a lot slower). So, views where the database doesn't need to do that filtering step are a lot faster than others. There are other things that slow down queries as well like blocks or keyword filters.
Smarter admins than I can employ strategies to tune their database for better performance. I don't have any knowledge in this area though, so others would be able to provide more insightful answers.