That’s correct, unfortunately.
Actually, creating a new domain only (like example.com) is very fast (you can try it). However, if you create a domain under dedyn.io, we need to change some information in our dedyn.io DNS zone to set up the DNSSEC cryptography properly. As we have a lot of DNS records in that zone, that takes a while, and this is what you observed. - When you create an independent domain, this process does not require adjustments in other places, so it’s faster.
Surely, we are working to improve this in the future. 
~Peter