Essentially, the relations objects are implemented as a 1 to n relation table (linking objects). By my feeling it should not pose a bottlneck (those are found in other places much more likely). The general way how ez stores objects however means that you can't just simply run SQL queries with fieldnames etc like in normal relational database models. That's the price we pay for very flexible and quick implementation of content objects, really (if this is a deal breaker, ez is NOT for you). To be fair, these days there are several extensions that can export objects of a given content type to CSV at least.
Shameless plug: Do take a look at http://triligon.org/triligon/projects/enhancedobjectrelation which is usign the standard object relation infrastructure but adds a few more neat features.