The first request to a wheels app with inevitably be slower if it's loading the framework for the first time - but it should be no slower than say, reloading it locally as you might do in development, unless your production server is noticeably under-powered, or you're trying to do something like load a large java library into memory, have far too many plugins, or 5000 models or something like that. However just because it's ajax shouldn't make any difference.
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