The "first level" terms are loaded on page load since they're set by the user in the WPUS settings, and it's really easy to get a list of them quickly. i.e. "Category" "Custom Taxonomy 1" etc.
"Second level terms" are much more difficult because each "first level term" could have dozens or hundreds of second level terms beneath it, and these need to be pulled from the database. We chose to not load these on the initial page load because it would slow down every page load, even when users weren't there to perform a search.
What we plan to do in the future is to create a basic caching mechanism where the first time the second level terms are loaded, they're saved to a list that can then be recalled instantly on subsequent page loads. We understand that this is going to be a very important feature for a lot of people, but it's going to take a little while to get it right.