I did some investigating and pinned down the problem to the screen rotation: it doesn't launch the SMS until it has finished rotating the screen, and since the rotation is slower overall, it brings up the spinning wheel.
My first unit blew me away overall with its speed. My second unit is generally quick, but that's it. I've also read at least one review stating that his phone was very slow, as if the CPU was constantly working.
FWIW, my ROM version is 1.14.402.0 (unfortunately I didn't check this on my first unit), and the radio version is 0.24.30.24.
So how quick are your phones, especially on the screen rotation and opening up the SMS app from the quick launch menu?