Hey Anuj,
Since the cucumber features are published on relish as a main part of VCR's documentation, I felt it was important that each scenario defines the HTTP application the client communicates with. That makes VCR's behavior as a sort of "proxy" in the middle between client and server easier to understand in the test. Also, different scenarios have different needs, and having a single server that satisfies all those needs would be challenging.
If there's a way to preserve these benefits while switching to "boot the server once and keep it running" model, I'd be in favor of trying that out to hopefully make things faster. I can't think of a way to make that work, though.
Myron