FTR: this is not specific to the Markdown plugin but rather for all plugins which use WebKitGTK on Windows. The same loading delay can be observed with the DevHelp plugin.
And it happens when the plugin is autoloaded at Geany startup as well as when the plugin is loaded initially in the Plugin Manager dialog.
@gigadude are you sure it doesn't happen with 1.28? I could bet I've seen this with 1.28 as well. But never debugged it, just assuming it is related that loading all the rather huge WebKitGTK libraries (and dependencies like libicu) just needs some time. Though in theory it could also be some configuration issue.