Some controllers have settings that deliberately slow the machine when changing direction. But if that is not this case, then maybe it is due to the control getting bogged down processing many short movements. Depending on the type of machining operation you have set up, and your post settings, your post could be posting simulated arcs in the form of short line segments. A sample xfa file would be helpful to look at.
First you get good, then you get fast. Then grouchiness sets in.
(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)