lolwut
Yes, the AH doesn't magically know everything you want to buy and load a list for you, so you do have to find it. But if you take WoW, as an example (the most universally familiar one for the sake of the argument) you navigate menus or search for a specific item. Correct. You buy an item. You search for another and buy some more. Without having to leave that one window. How in the world is that comparable to searching laggy menus, finding your item, and then having to teleport to the retainer, buy the one item and then run back to the Search Counter (a wall) and do that all over again?
And if I want to sell a bunch of stuff and keep my prices competitive? Why would I want to search one item (again, through those horrible menus) and then run back to my retainer to set the price, and then run back to the magic wall and go through all the menus again for prices on my next item? And every time I interact with my retainer, he's like, "okay, so do you still want me to stay here or should I go or what?"
I should specify that I understand that if SE implemented an AH it would probably be just as laggy as the rest of the UI but less opening and closing windows would be preferential in the situation of a game that was so intelligently designed to have a server side UI that requires communication with the server for every tiny little thing before it loads the next screen.