How long does the first sync take?

It depends on how much history your store has, because the backfill brings back every order you have ever taken rather than a recent window. A store with a few thousand orders is usually finished within minutes. A store with several hundred thousand takes longer, and runs in resumable chunks so nothing is lost if a step is interrupted.

You do not have to wait at a loading screen. The app is usable while the backfill runs, the progress is visible, and each page tells you whether the data behind it is complete yet. Revenue lines appear first because they need only Shopify; the margins below them fill in as your costs are entered.