My guess is they'll eventually have it to the point where it can quickly determine the best connect to use. Though really the only part that I see as slow is the NAT negotiation. First the NAT Negotiator tries the 'quick way' of exchanging information to get the connect between the two computers behind NAT. If that fails it does a whole iteration of attempts on a range of ports to see if thats where the computers are possibly listening. When that fails it goes to proxy (which in theory, should catch almost everything).
Ideally, if they get that iteration phase of NAT to work faster, there would be very little delay, and probably wouldn't need to specify what kind of connect you need.
Course all of this information was gathered by reading the forums, and documentation on the RakNet site. But thats my guess for whats going on. Though they sound like they're recoding their own net library, so who knows what it does now 
Anyway, my point - I think this is temporary. Ideally no one would use proxy servers. But for now it catches the issues.
