Data connection takes a long time to start up
Reason 1 :
H (HSDPA) signal requires greater strength and a mobile tower that emits 3G (HSDPA) signal. In your case ,the phone connects to a 2G mobile tower (near your vicinity) and then searches for a 3G signals ( maybe that tower is somewhere far)

Reason 2:
Cyanogenmod maybe designed in such a way that it first connects to 2G and then swithces to 3G. You might want to head on to their support page for further information.