I guess the sheer size of the files will put off some of the more occasional users. Yes, loading is slow, and it does not give progress feedback at the moment. (Loading is running in the main thread.) Once the data is in memory - the resample dialog pops up - it is easier to control. The UTM transformation makes use of all available processor cores and feeds the progress bar.
Memory can also become an issue. Merging of two 1x1 degree 1/3 arc sec DEMs should work (at least on a 64 bit system) but more than that can be problematic. If more than one DEM file is needed, load the maps first and crop each DEM file to the area of the maps in use.