When setting the SQL statement from the Worksheet into QB, we do some just-in-time metadata loading required by the third party software (Active Query Builder). Unfortunately it seems that, due to a bug that got fixed for 4.2, an optimization to speed up that metadata loading had to be removed.
If I compare response time in 4.1.5 vs 4.2 with the following simple SQL...
SELECT employees.first_name, employees.last_name, departments.department_name, locations.street_address, locations.postal_code, locations.city, locations.country_id, locations.state_province FROM departments INNER JOIN employees ON employees.employee_id = departments.manager_id AND departments.department_id = employees.department_id INNER JOIN locations ON locations.location_id = departments.location_id
...there is little difference when using a local database connection versus a 6 or 7 second increase for a remote connection (ping time of 40+ millisec).
Presumably your SQL is much more complex, and the delay is dependent on how much metadata must be retrieved. You could try opening a SR on MOS, but is not clear to me if re-introducing some partial optimization is even possible.