We've looked into this a while already and it has proven much more difficult to accomplish than you would think due to the nature of the TreeView (which the PropertyGrid inheirts from). The containers for the items below the category are not constructed (or measured/arranged) until the category is expanded. That process (building containers, measuring them, and arranging them) is the delay you are seeing.
You may be able to force the containers to be built using the ItemContainerGenerator, which might ultimately be what we will build into the PropertyGrid. Unfortunately, this will not make it into the WPF Studio 5.0 release, which will be our next release.
If this is something you must have, we could be contracted to make it a high priority and implement it for you. More info on that option here: http://www.actiprosoftware.com/Purchase/ConsultingServices.aspx