Right I have this slow loading problem too
Play 3.0.21 (Windows 7, 64 bit) in VE PRO
VE PRO 4.1.8008 (in Windows 7, 64 bit version)
Cubase 6.0.3 (in OSX Lion, 32bit version)
Hollywood Strings Diamond edition.
As a workaround, if you create a VE PRO template with the same sounds as your projects and load that manually into VE PRO before you load your main host project, it loads quickly. This seems to be because it is re-using the samples already loaded instead of trying to find them again.