GSX surely works with FSX Steam without any problems and it cannot possibly be the cause of that slow loading. Very slow loading in FSX can happen for many reasons, but it's surely not caused by GSX.
Sometime I get very slow loading on a session, and a normal fast loading on the next one, without changing anything. The only thing you should not do, is to kill FSX with the Task manager.
Instead, when you realize FSX is running in the background, just press Alt-Enter once to put it in Windowed mode and then Alt-Enter again to go back to full screen. I think this is likely caused by not full compatibility with FSX and tha latest Windows updates, since FSX still uses DirectX 9, which is very old, and some features like full screen in DX9 have issues with the latest Windows updates.
Nothing that has anything to do with GSX, of course, since in FSX, GSX doesn't have any interaction with video drivers or DirectX.