This is very common on any SSH server that is attempting to perform reverse DNS lookup.
So if you are pointing to an internal DNS server, modify your resolv.conf file or similar to add a static entry in for your IP.
Then, it should resolve faster.
I agree with the previous post that the problem is related to SSH and DNS. But if you're talking about a delay when you SSH into the firewall, just try to configure a reachable DNS server under Device -> Setup -> etc...
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