On my end, the DevExpress demos behave just like ours (Telerik) demos in terms of speed, latency and responsiveness. Considering you see different behavior, my best bet is that the network conditions in which we operate are quite different with regard to the demo servers.
I am attaching below two traces of what I get to the servers - the latency is similar. Of course, this is only for a ping, which is a lower level request than an actual connection, so those symptoms may not appear in a simple ping test, but you can still give it a go to see what you get. On your end, I expect that there will be significant differences, and the connection to our servers will be slower. Unfortunately, there is nothing anyone can do about this.
The problem with a large latency in server-side blazor apps is that it can wreak havoc with the order of events that happen on the client and what the server gets (and responds with). The DOM diff the server will return will become out of sync with the browser because the different SignalR packets will arrive in different (unexpected, wrong) order, and you may get unexpected results because the server can't know better.
So, I would suggest that you give our offline demos a try to see how the components actually work.
On the menus - we are aware of a problem where more than one can open at a time, which is, again, a latency problem, and we are working on resolving it. You can track its status here: https://feedback.telerik.com/blazor/1428330-multiple-parent-menu-items-can-be-expanded-at-the-same-time.
With all that said, if you continue to experience issues with our components when you run the demos locally, let me know and I will create a ticket for you where you can attach larger files as well, so we can investigate the situation. We are not aware of such severe bugs as you encounter and if they are not caused by network latency, I will need to be able to reproduce the issues in order to investigate, and offer a more concrete answer.
UI for Blazor