Yes. That is a software issue. The problem is that the plugins take some time to load into memorry.
As you might have noticed in the Banks window, you can also use the two footswitches in the controller to move up and down inside the bank.
Whe have in the roadmap an aptimization for that case which consists on pre-loading the next and the previous pedalboard's plugins, but without making the connections. When pressing the foot then the connections are done - which is a almost instantaneous thing.