I'm running Windows XP (like the one who originally asked the question) and 1) the Ctrl+Alt+Del window doesn't appear when I press Ctrl+Alt+Del but Task Manager is launched directly and 2) there seems to be no difference compared to launching it any other way; I experience no delay. This seems to also be true if using Process Hacker instead of Task Manager.
Hypothesis: if the Ctrl+Alt+Del window isn't displayed, no switch to the secure desktop needs to be done and the straight call can be used. Since the Ctrl+Alt+Del window isn't useful in practice you'd probably want to turn it off. Unintuitively, he only way (known to me) to do this is by turning the welcome screen on, which is the default setting.
@Raymond replying to Xpclient: your reply makes no sense at all. Xpclient lists a lot of actual problems and doesn't make the argument that it's worse because it's different per se. Although to be honest, I see no reason to use Task Manager at all, given that much better alternatives exist.