Why isn't there a fast blockchain update inside a LAN behind a router between two Bitcoin clients?
Because the bitcoin client tries to avoid being "fenced in" by an attacker who wants to control all the information flowing to it. It does this by connecting to more distant nodes, i.e. nodes which don't share the first two octets of the IP address. (update: the new address manager code still defends against this type of attack, but probably not in exactly the same way any more.)

If you know of a trusted nearby node, you can configure it with the -connectcommand line option or the connect= setting in bitcoin.conf.