Dunno why it'd be surprising: WAL has higher concurrency but it translates to more overhead, writes have to hit the WAL then be flushed to the database, and reads have to check the database and the WAL.
WAL could have faster writes for small amounts of data, but once you have enough contents that the WAL has to be flushed during processing you're better off skipping the WAL entirely.
Also check out DuckDB, which is a similar tool tailored for data science; I haven’t used it but I’ve heard good things. https://duckdb.org/