I've noticed the same thing. It does seem to take a while to download apps from the market compared to my Hero. I've tested this on WiFi and 3g data. It's not a huge deal for me but I have noticed this.
If its on wifi it could be a hardware firewall issue, i had a Moto CLIQ XT for a few weeks and had trouble downloading on wifi, enabled DMZ mode on my XT, and that fixed it. I do not have that issue on my EVO 4G, but i also have a new router now
Your phone needs a forced check-in while it's on Wifi. Unfortunatley I have no idea how to do it on the Evo yet lol.
Eventually, one of the times while you're using the market you'll see your 3G flash and upload even while wifi is connected. Then wifi works as well as 3G. The Market needs to verify the network you're on is what's going on.