Testing this on my 4.0(5) system (the system transfer is the same) I can't repro this. Make sure the "1" key on the call handler input page you have it setup for is marked "locked" - this means Unity will take action on it immediately and not wait to see if you're going to enter more digits for an extension or not. When I have mine setup like this I can dial "12345" from the opening greeting and be transfered to extension 2345 every time - it never misses a digit not matter how fast I enter them.
I'm betting this is your problem, if not, let me know and we'll see what else could be going on - it should not be slow at all.