This is what the docs say "When you select this feature, extensions are installed in the database engine to support execution of R scripts, and a new service i

This is what the docs say "When you select this feature, extensions are installed in the database engine to support execution of R scripts, and a new service is created, the SQL Server Trusted Launchpad, to manage communications between the R runtime and the SQL Server instance." So basically SQL Server is talking to the R session. The speedup is coming from R being installed locally and the "communication" which I've yet to figure out.