Earlier quoted context omitted.
It's probably slower because of the wavelets. You'll often hear that wavelets are faster than Fourier based methods, because the DWT is O(n) while FFT is O(n log(n)), but that doesn't hold up when the FFT window is a fixed size (as in the case of JPEG). Since JPEG uses a window size of 8px, the "log n" is 3, whereas JPEG 2000 uses a wavelet with 8 coefficients. So it's basically O(n) in both cases, with a much larger…
Doesn't JPEG use a window size of 8×8 = 64px, with a sort of boustrophedon diagonal path through those 64 pixels?
As for the zigzag path, it doesn't run through the 64 pixels, but rather through the 64 coefficients that come out of the DCT. That's part of the coding stage, which is a separate animal. That said, JPEG's coding scheme is way simpler, and probably way faster than JPEG 2000's, so that might also have something to do with the perf difference.
My overall impression of JPEG 2000 is that it seems like they started with "wavelets can surely be used to achieve superior image compression to JPEG", and then made whatever sacrifices were necessary, in terms of implementation complexity and computational resources, to bear out that premise. You could make similar sacrifices and beat the hell out of JPEG with a DCT-based codec too (e.g. with larger windows, overlapping transforms, better psychovisual models etc.)