The reason is that the software to scan a remote drive and pick the proper icon for each file takes up a lot of time using the non-native dialog box.
You can speed things up a bit by setting the following Sigil environment variable:
SIGIL_NO_CUSTOM_DIRECTORY_ICONS
As explained in the Sigil Users Guide:
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This environment variable is is useful if you make heavy use of networked drives with lots and lots of files. It prevents the constant search for system level custom file icons and so it can greatly speed up the performance of non-native file dialogs, like "Add Existing...".
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