Really important question here about your server...
Does it have access to the internet for users who are logged into it?
If it doesn't, that is your problem.
You can thank Microsoft for requiring their .Net 2.0 applications to access the internet to "Check for Publisher's Certificate Revocation". And due to other OS and/or IE related bugs (I believe Microsoft calls them features), changing the setting in IE for your users does nothing to fix the issue.
Please read here:
social.technet.microsoft.com/.../group-policy-preference-not-working-for-ie7-check-for-revocation
This bug still exists in Server 2008 R2 and IE 10. We have tried all kinds of things to force the setting for users, but it just doesn't save/work properly.
We have found through our own testing, the only way to get the screens to load faster is to grant internet access to the users from the server. Hope your anti-virus is good...
:-(