I'm not going to try to be an expert on the subject, but the basic nature of NT/Win2K involves the HAL, which is a layer of code that lies between programs/drivers and the actual hardware. With Win9x, programs "talk" directly with the hardware. Sometimes, the HAL may be written to improve performance on one level and the performance may be lacking in other areas.
WinNT4/2K is a completely different beast than the Win9x line. Just because one side performs better than the other may not mean that something is "wrong" or missing or disabled. I don't think it is valid to expect the same level of performance on both sides. If they performed the same, why would we need both?
-SUO