The size of the files that need to be downloaded increase with the use of dynamic panels. If a panel has 5 states and they are very large panels, it could be equivalent of downloading 5 pages at one time. The prototypes download all of the states when the page is loaded which is why the initial load may be slower, but the switching from panel state to panel state is very fast.
We are looking into ways to reduce the size of the HTML and javascript that needs to be downloaded and possibly improve the caching.
One thing that may help if you have a lot of images or some very large images is to right-click on them and Edit Image->Optimize Image. That can reduce the size of the image files.
As for the many files in the prototype directory, the files are not removed when a new prototype is generated to that folder so you may have some old image files in there that are no longer being used for that prototype. You can delete the prototype folder and regenerate to clean it up. Those folders are not cleaned out with each prototype generation in case users are keeping other files in the prototype folders.