Thanks to your reply so far, Bongo.
I have a new AMD FX8150, a SSD and a new GForce 670. So it's not a speed related issue.
What I remember from WinXP, I also had to wait during the theme changes for about 15 seconds - until I bought a new graphics card. After installing the new card, I could change themes on the fly.
Strange that I couldn't find any reference within the net about that strange behavior...