That's a long time. In general, querying SharePoint from an InfoPath rich client form is not going to be as fast as from a browser form. The browser form should be much faster because it's running the query on the server as opposed to the user's computer.
I will add a support case to look at CopyTable performance improvements. In the meantime, if you are able to filter the results and reduce the amount you are pulling down on load, the user perception will be better. You can use the Insert row technique that Jo-Anne describes here instead of Copy Table and it might be faster. Certainly, it's more flexible (for example, doesn't require that source and target tables have the same structure). You could add subsequent rules and actions to successively copy down data as you need it. Or, at the very simplest, just add a button to the form that says "Click Here to Start" which copies it down. That way the InfoPath form will open quickly and users will click the button. The perception isn't as bad because they had control over the initial process.
Hopefully, the Insert technique will be faster, but if not, I'd make changes to the UI to improve perceived load time. We'll look at performance enhancements in a week or two.
Best regards,