There are two time consuming operations regarding themes - the first one is creating theme component instances which load themes in the application and the second one is applying a theme to a control. Only the fact that you have referenced theme assemblies does not increase the application start-up time.
In order to optimize the application start-up time, you can create the theme component instances in a separate thread. You will have your theme components created, but you will not feel any performance decrease coming from this fact.
I am attaching a sample project to demonstrate this. Just try running the project with and without the performance optimizations and you will notice the difference.
I hope this helps. If you have additional questions, feel free to contact me.
the Telerik team