As author of the code you are using I can agree that it can slow down your page loading time. There is no end around as you must realize the transactions are going on:
There is a fair bit of communication that needs to happen. There is no getting around that to get dynamic content.
If you ran the PHP script on your own server it would be faster. If you used our provided PHP include code it might be a tad faster.
A .js include file would do nothing for you, unless you had your own way to have a script automatically fetch the RSS, parse it, and then update an include file on your server.