Emulated graphics doesn't have to be seen as to actually be heavy, often some stupid detail can be much heavier than the rest
, and that character selection screen has awfully lot of small textures that easily can beat plain 3D stage with same char models.
Also it's not really a bug that at times higher res can be a bit faster, we had a topic here describing similar cases in the past with for example Star Ocean 3 menu's and from the discussion it seems pc gpu's are somewhat optimized to higher res textures which are common in pc native games and will process them a bit faster, rising res will also make gpu hit other limitations faster through, hence a speedup from this is very rare.
You can't really get much of that hd4200 chip it's already luck that game is generally very light on the gpu
. You might try how "allow 8 bit textures" affect that part of the game as this option can give totally different results depending on game scene and hardware, might be a speedup or slowdown, but usually it is significant, soo when being gpu limited it's always worth checking.
Anyway if it's just the menu that lags I would totally ignore it and at most change sound to Async Mix if the laggy music would be too bothersome;p. Since you're playing at native res and around anyway you could also try software mode(F9), 3.5Ghz on PII is quite nice soo even through it has just 2 cores maybe you could get full speed in software(althrough stupidly software mode is one thing that could actually gain from having more cores, heh;3).