MSMQ doesn't have native pub/sub capabilities so NServiceBus adds support this by storing the list of subscribers and then looping over that list sending a copy of the event to each of the subscribers. This translates to X message queuing operations where X is the number of subscribers. This explains why RabbitMQ is faster since it has native pub/sub so you would only need one operation against the broker.
The reason the storage based on a msmq queue is faster is that it's a local storage (can't be used if you need to scaleout the endpoint) and that means that we can cache the data since that can't be any other endpoint instances updating the storage. In short this means that we get away with a in memory lookup which as you can see is the fastest option.
There are plans to add native caching across all storages:
https://github.com/Particular/NServiceBus/issues/1320
200 msg/s sounds quite low, what number do you get if you skip the bus.Publish? (just to get a base line)