I figure it out! Sorry about that. It is version mismatch. The version of WinSCP.exe is different from WinSCPnet.dll (the assembly).
I use the source code of the latest version of WinSCP. I use the dotnet\WinSCPnet.csproj in the source. I add the project to the C# example. Compile the assembly and then C# example. The example runs immediately, but then I see a message saying the compiled assembly has a version mismatch between dot net assembly and WinSCP.exe.
Once I make sure both (assembly and EXE) are the same version (5.5.2), the C# example runs successfully (without any startup delay).
[EDIT] Actually the delay happens in 5.5.1!
I play around with version 5.5.1 and 5.5.2. I use version 5.5.1 EXE and dot net assembly with the C# example. When the program starts up, there is delay. I switch to version 5.5.2. When the program starts up, it runs immediately.
Hope this version information helps anyone needs to use WinSCP dot net assmebly.