I thought I'd report this in case it may help (I use GAE, but downloaded MG last night to see what's new).
When I start a game, whether I'm connected to the Internet or not, there are pauses of 4 or 5 seconds at various points. One is when selecting 'New Game' -> 'Custom'. Another is when the game loads up and starts; when I select any unit there's a freeze, and sometimes when I then select other units. Once the initial pauses are done with, all is well.
The previous MG version did the same for me. If it's of any use; Toshiba LC-350 17" laptop, 2GB Ram, dual-core, with Vista Home Premium. (It runs GAE and MG well enough at 1440 x 900 resolution if I turn off shadows and tone down a few other things in the .ini file).