>It returns the results in less than a second.

It doesn't. Management studio displays the result as soon as the first few dozens records are available. If you look closely, you see that the query is still executing, even though Management studio already displays a result. VFP waits for the query to be complete (or for a larger number of records) before it returns. If you execute the query asynchronously in VFP, you should get a result much quicker, too. VFP would keep loading in the background.