Since this isn't used until the menu is pinned, and doesn't show on the page, the time it takes to download should only be taken when the user requests that it be pinned. This shouldn't hold up the page being rendered, since it is not page content.
Edit: Additionally, how does what's in the pinned menu get updated? Does it need to make a full page request to get the new items? This will needlessly inflate pageview numbers in that case (I'm sure the "fix" for that will be that Microsoft will change the User Agent to say that it's not the browser but rather than pinned menu making the request). As for implementation, does the browser create the menu from the this and it's static? Or does the URL to the page get passed to the menu bar where it is pinned and then the menu bar is responsible for making the request? Or does the browser actually run the menu bar -- this seems like the wrong kind of integration.