Unless that redirect is something your users are likely to experience, in which case you shouldn't cheat and provide a URL that delivers a different loading delay than visitors will encounter.
In my case it actually was sort of interesting - it definitely suggested that the redirects don't have the correct caching headers, because they clearly weren't being served off the CDN. However, this redirect is a pretty unusual case for us, because most of our traffic is either from SEO or links from notifications we send users.
I agree that you should be looking at the experience most users are going to have, but if the first experience for most users is a redirect you should probably do something about that.