Steve,
As you've already alluded this is likely to be driven by how Excel manages its memory and, in particular, how it "remembers" objects that that have been deleted.
My guess is that the second time round Excel reuses the ghost memory location of the initial temporary sheets and, in so doing, can operate much quicker. Its worth noting that closing and re-opening Excel will flush most of its temporary memory hang-overs (I say most because the remainder explains how big spreadsheets can get corrupted over time). This is a useful trick to remember if Excel starts slowing up on you with a big spreadsheet.
However since the program code is proprietary all this is just a guess. Unless you can find a suitably motivated Microsoft Excel developer with the time to debug this I reckon we'll just have to speculate...
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