It's true that with higher connection speeds, WebShield's effect is somewhat more noticeable. A proxy always has some performance implications, especially if it's a proxy like the WebShield which is scanning all the traffic.
The effect is very dependent on your CPU speed, actually. On a typical computer today, network speeds above 50mps will generally cause the WebShield to consume considerable CPU (and will possibly slow down the network throughput, too). You have to realize that we're doing a full scan on the whole stream, and that's not a cheap thing.

On the other hand, I find these tests somewhat superficial (= not necessarily related to the actual user experience). The reason for this is that WebShield detects large downloads and treats them differently (but the speed test tools usually use smaller downloads to do their job). That is, try downloading a file from a very fast server instead. I assume that the WebShield effect won't be noticeable in this case (neither download speed wise nor CPU usage wise). And in case of small downloads, the raw download speed isn't that important as many other things come into play (such as the latencies caused by connection establishment etc.)
BTW try disabling the Stream scan feature in the WebShield settings. This will make the test complete faster (but of course, is not a recommended setting as it does have security implications).
Thanks
Vlk