Speed to read small table
SqlDependency was not really intended for real time type processing.  3 ms is still pretty good.  

You should only retrieve required columns and you should use a Reader.  DataTable has a lot of overhead.  And you should be using Using.

string commandText = "SELECT PK FROM [" + DBName + "].[LB].[Orders] " + Environment.NewLine() + 
                     "WHERE [AccountIdent] = 'LB:B' AND [Exchange] = 'FX' AND [Status] = 'Sent' " + Environment.NewLine() + 
                     "ORDER BY [OrderDate], [OrderUTC] DESC";
using (SqlCommand cmd = conn.CreateCommand())
{
    cmd.CommandText = commandText;
    conn.Open();
    using (SQLdataReader rdr = cmd.ExecuteReader())
    {
        while(rdr.Read())
        {
           list.Add(rdr.GetInt(0));
        }
    }
    conn.Close();
}