I just checked, if you already have .NET installed, the powershell package is about 20 MBs, which is… tolerable. However, I see that the latest version still starts very slowly compared to *nix shells (and also Python).
The shell was running from tmpfs (so basically a RAM disk). I have a decent processor and an NVMe SSD, and this is what I see (it was tested 10 times in a row to pull everything into the page cache properly, and the numbers are pretty stable):
$ time ./pwsh <<<"" >/dev/null
real 0m1.050s
user 0m1.464s
sys 0m0.067s
More than a second to execute an empty 'script', and even longer to get to the interactive prompt (which is harder to time properly so I'm not publishing any numbers).
It's even slower on an older Windows laptop which I have lying around (starts in about 3-4 seconds). Absolutely terrible for an interactive shell/script execution engine.
Just for comparison's sake, the same laptop can run an empty bash script in 2-3 milliseconds. This is very important when running build jobs, for example.