@JMatazzoni (WMF): Sure. For starters, I use Modern with a dumb amount of userjs, including a number of scripts that dramatically slow down the watchlist (e.g., user highlighting, shading out already-seen pages, cross-out blocked users). In the interest of this, I've tested it using vector, for which I have no customizations or js loaded.
I'm on OSX 10.11.6, running Firefox 60.0.02. My watchlist just hit exactly 5,500 pages (although I had the same issue when I had it pruned to around 3, 3.5k), and I show 1,000 changes (that's ostensibly over the last 7 days, but assuming there's minimal drama at enWiki (lol), it usually spans about 24 hours).
Without the filters, it took about 13 seconds to load, whereas with the filters it took 27 seconds. Nearly all the extra time was with the loading dots for the filters. That url is: https://en.wikipedia.org/wiki/Special:Watchlist?hidebots=1&hidecategorization=1&hideWikibase=1&limit=1000&days=7&enhanced=1&urlversion=2 (no bots, page edits, page creations, logged actions). From there, adding a paramter (https://en.wikipedia.org/wiki/Special:Watchlist?damaging=verylikelybad&hidebots=1&hidecategorization=1&hideWikibase=1&limit=1000&days=7&enhanced=1&urlversion=2 aka very likely have problems) takes about 12 seconds to show. The interface itself is fairly laggy, often requiring a second or two after clicking an option before something registers.
FWIW, with modern and my userjs, it was 17 with the old system and 30 with the filters. Happy to provide more info if you like; I know I'm an edge case, so I appreciate the thought regardless.