This is probably a generic Qt problem, not because of PyQt.
If you can, create an equivalent C++ Qt test. If you see the same delay,
then look at the Qt mailing lists, support, etc.
You can also test to see if the delay changes with the number of files
shown in the dialog. If the delay increases with the number of files,
it's almost certainly not caused by anything at the Python or PyQt
FWIW, I remember some versions of Qt3 had performance problems in the
file dialogs due to networked drives and/or networked user accounts.
IIRC, some Windows file operations, like checking user read/write
permission, are slow in some cases. I think the Qt versions of the file
dialogs checked file attributes for each file in the dialog. You might
be seeing something like this.