J,
It is difficult to respond to your questions. My forms perform fine, they are not slow or sluggish, probably because I don't write slow code or if I do I change it when the performance is hurt.
The wizards are what they are, wizards for quick and dirty form development. If you want flexibility then don't use the wizards write your own form classes and forms.
If you really prefer VC++ or Delphi then use them, but your users will be waiting alot longer for the data than they do for your VFP forms. Of course with either of those you also need to use some database since neither has data handling in it.
As for the pathing to the classes, I woudl suggest trying to compile a VC++ application on a machine where the classes are in different places. Any development platform has to be able to find the pieces, VFP is no different than any other tool in that way.