Why is there ASYNC_NETWORK_IO wait type on Shared Memory connections?

Question

I have an app (windows service) local to the SQL Server box. It calls a stored procedure on the SQL Server box that returns a ton of data and thus causes ASYNC_NETWORK_IO wait.

The database connection from is of Shared Memory type (I double checked for sanity). Why would there be a ASYNC_NETWORK_IO wait type on Shared Memory connection?

I thought ASYNC_NETWORK_IO had to do with a network lag?