Worries because I'm slow in understanding course materials and my mind goes blank in exams
No. You are definitely not retarded. 

You mention that you spend a considerable amount of time going into deep research on every subject. Indeed one of the skills you develop (or should strive to develop) during the course of your studies is to adopt a more pragmatic approach and understand when do you need to understand every detail and when do you need to only understand things at a high level. I had a similar experience to yours so I know that this might sound to you like cheating/impostering, but the reality is that with the sometimes overwhelming load that you are faced with during your studies (and will keep facing in your future academic or professional life) you routinely need to evaluate if the gain in your overall performance from this additional rigorousness will indeed justify the amount of time you will invest in it, often at the expanse of other tasks. 

Two things that helped me personally to control this tendency are:


Studying with other students. This can help give you some feedback on whether it is indeed vital to go into that level of detail on that particular task.
Deciding in advance how much time I'm going to dedicate to a specific task. This is indeed challenging and might also be stressful at times, but knowing you have this time constraint can help you to prioritize what are the most vital elements of each task.


Another equally important point: from your description it sounds possible that you might have ADHD or some other learning disability. I recommend that you will approach the unit in your university in charge of supporting students with learning disabilities. They will be able to advise you how to optimize your learning process and help you get additional assistance that you may be entitled for.

Last but not least, have faith in yourself! the fact that you are taking such a challenging program and are studying diligently and the very fact that you asked this question shows that you are capable!