Hi,
With mysql, it's supposed to allow for multithreading. The way the multithreading is implemented, though, is that each thread works on a separate genome contig (or chromosome). If there's one contig that contains a large number of genes compared to the others, it could end up just using one thread once the other contigs are finished.
There could be some other reasons for lack of speed here given there's a lot of I/O and communication going on with the mysql server. In any case, the mysql backend should be a lot faster than using the sqlite version, but still might not be as fast as possible.