So, that means associated queires to VOs will be executed and depending upon the size of underlying table, connectvity with the db, indexing of table etc it may take a considerable time for the page to come up for the first time.
Even it is the intension of the end user to open a qeury page for querying the data but still running the app and waiting for the page to come up for more than 15-20 sec may be quite annoying. So, a better idea from user experience perspective is to show the page as soon as possible and then let user query it himself by hitting a search button.
If this makes sense to you then the solution for the same is to create a view criteria and unchek the query automatically check box. This will prevent the initial SQL execution.
A more details explaination is provided by Andrejus at his blog with a sample app.