I have found SQL CE to be somewhat slower than both SQLite and SQL Server. I just ran some tests where I sync'd 137 images that averaged 2.6 MB each.
GSP 2.5.0, SQL CE: .4 files/second
GSP 2.4.8, SQLite: .6 files/second
GSP 2.4.8, SQL Server: .5 files/second
GSP 2.5.0, SQL Server: .6 files/second
Notice that SQLite and the 2.5.0 version of SQL Server are about 50% faster than SQL CE.
Remember that these performance numbers would vary widely depending on they type of media objects you are processing. During a sync, most of the work is building thumbnail and optimized images - the database communication is a relatively small part of that. The bigger your images, the more this is true (for example, syncing a bunch of 50 MB images would take over 99% of the processor time just to process the image files).
For the ultimate in performance, you may want to use SQL Server, including the free SQL Server Express. I haven't explicitly tested Express, but I would expect numbers similar to SQL Server.
Roger Martin
Creator and Lead Developer of Gallery Server Pro