I don't know for sure what is going on there. First of all, I'd make sure that ALL electrical connections, vacuum/pressure hoses, etc. are properly and tightly connected. Beyond that, it sounds to me like the AFR isn't doing its thing, OR the wideband isn't working accurately. If the wideband sensor is beginning to get fouled with lead (from previous runs on leaded gas) it'll just get sluggish -- it generally won't quit working or do anything that makes it obvious that it's crapped out. It can also get fouled with oil from an engine burning excessive oil (or blowing it by the turbo seals under high-boost conditions), and that can mess it up too. If possible, I'd try to put the car on another wideband and see what it says. If it tells you the same thing, I'd probably try removing the AFR and see what happens -- maybe try to temporarily replace it with another one or another model of fuel controller. I know that with my Field SFC, if I change the fuel by 2% at a given RPM, I can clearly see the difference in the AFR on the wideband. If I changed it by 15%, it'd probably make about 2 full A/F ratio point change -- for example, from 11:1 to 13:1 -- if not more.
IMO, all of the enclosed thermocouple type EGT sensors will have more or less the same reaction time. The fast ones are the enhanced RTD type, or the exposed thermocouple type, but practically no one uses those due either to cost or durability issues.
Sorry I can't be of more help, but these niggling little things are hard to diagnose without some trial and error. Maybe someone with some direct experience here will chime in...