Code run using rsubmit in PC SAS Connect session should run at about the same speed as a pure UNIX run. A section of code between rsubmit and endrsubmit is run using the WRDS UNIX system and processors as if it was submitted as a batch job. One caveat is that output and log files are sent to your PC and this is slower than directly writing to a log and lst file on the UNIX system. This should only matter if these files are large.
If you use PC SAS Connect, please make sure to use the rsubmit-endrsubmit method and do not use the remote library, as below (which is significantly slower)
Libname wrds_crsp "/wrds/crsp/sasdata" server=wrds;
In this case, your PC system must process each database record with your internet connect being a potential bottleneck.