FAIRie here. GA is essentially guess-and-check. SGD doesn't require guess or even check; if your error function is differentiable, and you didn't screw up the chain rule, you know what direction to head in to make it go down. For large models with lots of parameters, finding a setting for each parameter that makes the model as a whole go down by random choice has complexity n * f(n) for some monotonically increasing f, while SGD really finds you your next model, with decent guarantees it will be better, in O(n) time.
The theoretical hand-wringing about SGD for neural nets is that their loss surface isn't convex. It turns out this doesn't matter. The loss surface is a high-dimensional egg-carton, and you need to get winning-the-lottery-while-struck-by-lightning unlucky to find a significantly shallow local minimum. There are lots of saddle points, and you need to do something to drive out of those, but stochasticity seems sufficient in practice.