I'm pretty sure the reason it's lagging is that anytime you adjust the screen resolution wow re-renders some of the information. So your moving 1024x768 to 800x600 and 800x600 to 1024x768 at the same time and your system re-renders both of those at the same time.

Also moving from one monitor to another might be causing some of the delay. For instance if I move a windows media player window playing something from one window to another, it lags very slightly. Both are just educated guesses =)