EG 4.1 with the latest hotfixes and EG 4.2 both get the values in batches. You should see a "Get Values" button that, when clicked, retrieves the first batch of values. If there are more values to retrieve, you'll see a "More Values" button to click so you can get the next batch.
Are you seeing that interaction and if so, are you finding that the operation still takes a long time?
In our implementation we have chosen to design our data marts using star schemas. One reason was that in EG, the "Get values..." would in most cases access a dimension table, which in most cases are much smaller in size than the fact table (or a corresponding demoralized table).