EDIT - Actually I CAN NOT create & upload in the same step - The first try create the gallery but won't upload then try again but upload to the previously created gallery.
The SmugMug uploader template needs to be changed to stop you from creating the gallery and starting an upload before the gallery creation is complete. We'll fix that. In the meantime if you'll just pause a moment until you see the "Opening connection..." message get replaced by "Ready." then it should work fine.
As for the speed issue, we don't know what is going on for you since there is no speed issue in our testing. Allowing two files to be uploaded simultaneously should alleviate the problem but it sounds like it doesn't do the trick for you. Check the Uploader Preferences (use the Preferences... button at the bottom of the window) and make sure you're allowing concurrent uploads.
-Kirk