You might be a particular type of person... I don't remember Windows Cmd being not slow, ever. It feels extremely sluggish. It supposedly has something to do with Windows ConHost, but I don't know about the details.
In fact, even most terminals on Linux are unbearable to me. Not only do the antialised vector fonts tire the eyes on sub-4K screens - most of the terminals I've tried feel slow as well, though not as slow as Windows Cmd.
http://danluu.com/term-latency/
https://github.com/cmuratori/refterm
Personally I use xterm with bitmap fonts whenever I can, it feels sooo good. It has both crisp font rendering as well as being reasonably fast/responsive. (It's probably not the fastest ever in throughput if you want to display /dev/urandom, but that's not my benchmark).