Huw,
JFBConnect already loads the Facebook library asynchronously. However, that doesn't mean that everything is always speedy. Depending on what you're loading on the page (Fanbox, Like button, comments), there can be many requests to get user avatars which can cause the loading thing to occur. Avatars, and most other content from Facebook is served from a CDN, so I don't know exactly what may be loading when you see the "waiting for.." line.
Please note that while the Javascript loads asynchronously, all that means is that it doesn't block the rest of the page while it is pulled down by the user and executes. Any assets (images, css files, iframes) that it inserts into the page (from the widgets) will act like any other HTTP request and simply be queued up as they are required.
In JFBC 4.1, we are changing the asynchronous load slightly, which may be a little faster, but I wouldn't bet on any drastic improvements.
Hope that helps explain,
Alex