Direct vs Linked Server Connection in Query Execution Time
In the left window, when you connect directly to FORBISPRD08:


SQL Server Management Studio sends a request to
FORNSQPRD02\NAV01, who has the data, and sends it back to
SQL Server Management Studio


In the right window, when you use a linked server


SQL Server Management Studio sends a request to
FORBISPRD08\BIS01, who sends a request to
FORNSQPRD02\NAV01, who has the data, and sends it back to
FORBISPRD08\BIS01, who forwards it on to
SQL Server Management Studio


See the difference? Same data might be sent, but there's more steps involved. When you need data, connect to the server that has the data.

Linked servers are like going to a bar, seeing someone you like, and then starting a chat with their friend instead. You might make progress - but it's not gonna be as fast.