Slowness is also due to thunderbolt being PCIe x4 as opposed to x16 - x4 has a fourth of the bandwidth. Games however don't max out x16 usually, so you'd lose about 25%.
https://www.techpowerup.com/reviews/NVIDIA/GeForce_GTX_1080_...
In games that want to load fast loading a save game might drop you into a pretty low fidelity world and then start loading in the higher res assets.