Hi
In my opinion, as there are large amount of records returned from the Oracle database, it's take a long time to import data to desktop. I would suggest you Using Application Tracing Tools to trace the desktop running against the Oracle database. Also please try to connect to Oracle database in DirectQuery which will not import any data to desktop.
It's hard to say whether the performance connect to SSAS cube is better than Oracle database or not, the performance when get data can be affected by many factors, like database server performance, connect mode (Import, DirectQuery or Live connection), number of records, etc. But if there are large amount of data, I would like to connect in DirectQuery or Live connection. When we interact with the data, it will send backend query to access target database.
Best Regards,
Qiuyun Yu