Pixel shaders are not inherently expensive, but the lighting calculation is not trivial. It requires less computation to perform the lighting calculation once at each vertex and linearly blend the result at each pixel, than it does to perform the lighting calculation once at each pixel. So it follows that if you write a pixel shader to perform the lighting calculation at each pixel, it will have to do more (and hence render more slowly) than the default fixed-function pipeline, which performs the lighting calculation only per each vertex.
That’s not meant to suggest that simply having a pixel shader at all will render more slowly than the default fixed-function pipeline. It all depends on the shader you write. Some shaders may render more quickly than the default pipeline.
None of this has much to do with load time, however.
David