Please don't tell me I am going to have to open my unit myself.
No reason why you should.
why does the selection of programs take about a second to kick in when changing programs?
The larger programs do not load immediately. This is because they are large.
why does it sound like there is a filter engaged when setting everything to "thru"?
It sound like you are mixing the output with an external dry signal. All digital equipment has a slight delay (A/D conversion time, etc), and this can cause slight cancellation of highs if mixed with an undelayed signal. But, there is no reason to use it like this with a Thru signal – typically you either use the wet/dry mix on the unit, or a send/return from a mixer.