I think it's probably because
1) The form's loading in an iFrame and/or
2) The form's generated from a database, not a static HTML page with the form on it.
3) This delay you experience may not be the same for everyone - it might be because of your internet connection or some other factor outside your control.
Looking at the site you gave as example, I find no really noticeable load time delay of the form, therefore I don't think it's much to worry about, however there could be differences between various users' internet connections, and my experience may differ from the next person.