Tim Olson gave an excellent explanation of all the details but I thought you might like a simpler answer:

JPG compression/decompression is VERY complicated and hard to do.  The code in Squeak isn't optimized to be fast yet, the code is written to be easy to read and modify.  We know how to optimize it to make it fast in Squeak but we haven't done it yet.  Whereas the JPG decompression on Mac/Windows/Unix has already been optimized for speed.