Joshua,
I can understand why you would be surprised, but of course there is more to the EG/server connection than you describe.
EG communicates with a metadata server (often the same host as the workspace) to gather information about available resources. It caches this information but updates it fairly agressively when there is a possibility that something has changed (new library assigned, for example).
EG communicates with the workspace server to read data, examine libraries and their contents, submit SAS programs, listen for events such as "data created/modified" or "step completed", collect log information, download ODS results such as HTML, PDF, images, whatever is needed.
It seems like a lot, but even with all of this EG is reasonably responsive even across a WAN. As an example of this, I'd point to the SAS OnDemand for Academics program (http://support.sas.com/ondemand/), which provides the EG client to professors and students, who use it to connect to a SAS server over the Internet. With a broadband connection, performance is good.
We try to be good stewards of your network resources. It isn't our "#1" concern because most companies deploy our apps on a LAN and have plenty of bandwidth. But it is an aspect of performance that we try to be concientious about.
Chris