Hmmm....I don't have an immediate answer, maybe someone else has better eyes today than I do, and can offer some advice.
I generally set the datasource first and the displaymember/valuemember after that - not sure if that would make a difference (or even why)
Just a wild guess, if you either use a typed dataset....or refer to the table in the datasource by table # (e.g. MyDataSet.Tables[0]), does that improve the speed? (I'm grasping)
Kevin