The way this is made cheap is by making it incremental: given some board s and output of the first layer b + Ws, it is cheap to compute b + Wt where a t is a board that is similar to s (the difference is W(t-s) but the vector t-s is 0 in almost every element.)
This motivates some of the engineering choices like using integers instead of floats. If you used floats then this incremental update wouldn’t work.
It seems to me that a lot of the smarts of stockfish will be in the search algorithm getting good results, but I don’t know if that just requires a bit of parallelism (surely some kind of work-stealing scheduler) and brute force or if it mostly relies on some more clever strategies. And maybe I’m wrong and the key is really in the scoring of positions.