I just compared the speed of moving FX between projects in X2 with the speed in X3 and there is definitely more lag in X3.
That said, for me it is still close to instantaneous. I have maybe a 1/2 second leg when dragging one effect for the first time. Once the GUI for the effect is loaded, it drags faster the second time. I don't know why.
But I do see an slight increase in lag when dragging FX between projects in X3.