ListPro's file format is designed such that adding an item causes all subsequent items to be moved over to make room. On a Windows Mobile 2003 or 2002 device, and on the desktop, doing this is generally very fast due to the speed of storage memory.
Windows Mobile 5 devices store data in non-volatile flash memory which is much slower to write to than the DRAM used in older devices and the hard disk on your desktop PC. As a result, on a Windows Mobile 5 or newer device, adding items to a very large list may be noticeably slower.
This is also true for lists stored on a storage card for any Windows Mobile device (even 2002 and 2003 ones.) Storage cards all use the same type of memory that is built-in to newer devices, so the same performance issue applies.