Assuming you're using Microsoft hosted build agents, the following statements are true:
With Microsoft-hosted agents, maintenance and upgrades are taken care of for you. Each time you run a pipeline, you get a fresh virtual machine. The virtual machine is discarded after one use.
and
Parallel jobs represents the number of jobs you can run at the same time in your organization. If your organization has a single parallel job, you can run a single job at a time in your organization, with any additional concurrent jobs being queued until the first job completes. To run two jobs at the same time, you need two parallel jobs.
Microsoft provides a free tier of service by default in every organization that includes at least one parallel job. Depending on the number of concurrent pipelines you need to run, you might need more parallel jobs to use multiple Microsoft-hosted or self-hosted agents at the same time.
This first statement might cause an Azure Pipeline to be slower because it does not have any cached information about your project. If you're only talking about deploying, the pipeline first needs to download (and extract?) an artifact to be able to deploy it. If you're also building, it might need to bring in the entire source code and/or external packages before being able to build.
The second statement might make it slower because there might be less parallelization possible than on the local machine.
Next to these two possible reasons, the agents will most probably not have the specs of your development machine, causing them to run tasks slower than they can on your local machine.
You could look into hosting your own agents to eliminate these possible reasons.
Do self-hosted agents have any performance advantages over Microsoft-hosted agents?
In many cases, yes. Specifically:
If you use a self-hosted agent, you can run incremental builds. For example, if you define a pipeline that does not clean the repo and does not perform a clean build, your builds will typically run faster. When you use a Microsoft-hosted agent, you don't get these benefits because the agent is destroyed after the build or release pipeline is completed.
A Microsoft-hosted agent can take longer to start your build. While it often takes just a few seconds for your job to be assigned to a Microsoft-hosted agent, it can sometimes take several minutes for an agent to be allocated depending on the load on our system.
More information: Azure Pipelines Agents