Can’t reproduce that here. I’d check to see if there are any errors logged in the browser console that coincide with clicking it and also try it on an unmodified default style.
Note that because XF2 loads its JS in the footer it’s sometimes possible to activate certain things before JS has fully loaded and so stuff like this or overlays can open fully rather than through an AJAX request.
Probably worth trying it with any browser extensions disabled too. Especially Adblock and other script blockers.
That's the correct console, though it may clear itself when you load a new page. To solve that, click the cog icon (to the right of the Console tab) and ensure this is checked:
Also keep the console open when you try it again.
I just tried what you suggested. That box was checked already. No errors reported.
No performance issues at all. My site is super quick on my Mac. Since I upgraded to XF2 early last month, all has been great. No issues really whatsoever. Every now and then the log in opens in a new page, instead of an overlay, however that hasn't happened for awhile.
Unfortunately I can only pin this down on some sort of bottleneck. Everything you've described is indicative of the JS not loading fully and I was experiencing a similar issue earlier on your site on the Login and Register overlays opening in a new page, which according to the Network tab did seem to be because it hadn't loaded the JS yet.
So although the pages might seem to be loading quickly, they seem to be not loading the JS quite so fast. I don't have a particular explanation for that, but ultimately it will be some sort of bottleneck in the server (PHP and XF isn't even involved at this point because it's just a script request).