Why are expensive VPN routers slower for a simple home broadband/cable sharing setup than cheap, non VPN routers?

I swear I bought several vpn routers (mostly from linksys) and they have all cut a simple broadband/cable modem sharing connection speed by a factor of 3-5x. This is amazing. On the other hand, I buy a simple cheap router like a di-604 or linksys befsr41 that has no VPN and the speed almost reaches the 5mbit/s cap of the service. What can possibly cause this? No amount of firmware fixes it, is there something inherent in VPN routers that just puts the breaks on WAN connections?
Who is Participating?
Nothing that I know of. I have a Linksys WRV54G with two permanent site-site VPN's and I still get up to 5.5Mb speeds from http://www.bandwidthplace.com/speedtest 
Just now checked and got 4.1Mb

4.1 megabits per second

Communications 4.1 megabits per second
Storage 502.5 kilobytes per second
1MB file download 2 seconds
Subjective rating Awesome

I consistently get much better results using IE than I do using Firefox. Go figure..

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