This is not a problem of bitshares platform itself even if there is a lot of people that think this.

Here is the issue; when you pull out coin from bitshares DEX you are using a gateway. some common ones are openledger, rudex, cryptobridge, blocktrades among others.
Now, that pull out is something bitshares platforms do not handle, for the bitshares-core this is just a transfer of asset from one account to the other, inside the network.

When pulling coin out, you send your coins to another bitshares account(openledger, blocktrades, etc), everything inside bitshares blockchain. the third party gateways get your coins in their accounts inside bitshares and send to your address outside the system.

This process can be immediately or take some time depending fully on the gateway, bitshares can't do anything to speed the process as for the network the operation is just a transfer of asset from one account to another(this is confirmed in less than 3 seconds).

Again, the time the gateway takes to send you the coins they already have in their bitshares account is something bitshares itself cant handle.

In Ryan worker proposal, one of the items to be worked on is interchain communication(AKA atomic swap). This will allow a new in/out channel between bitshares and other supported blockchains. If this is implemented successfully the process get coin in/out to/from bitshares will improve for some specific coins.

Hope it helps clarify a bit on this subject :)