Why is processing the Windows message queue so slow?

PeekMessage, TranslateMessage, and DispatchMessage often take a long time (sometimes more than a millisecond for a single message). Is this normal? How do people deal with this? I thought about handling messages on a separate thread, but that would introduce unnecessary complexity and wouldn't really solve the problem.

Here's what my game loop looks like:

int WINAPI WinMain(...)
{
    // ...
    
    bool running = true;
    while( running )
    {
        running = poll_messages();
        update();
        render();
        SwapBuffers( whatever );
    }
    
    // ...
}
    
bool poll_messages()
{
    bool keep_running = true;
    MSG msg;
    while( PeekMessageA(&msg, NULL, 0, 0, PM_REMOVE) )
    {
        TranslateMessage( &msg );
        DispatchMessageA( &msg );

        if( msg.message == WM_QUIT )
            keep_running = false;
    }
    
    return keep_running;
}

And part of the window proc:

LRESULT CALLBACK wnd_proc( HWND hwnd, UINT msg, WPARAM wparam, LPARAM lparam )
{
    LRESULT result = 0;

    switch( msg )
    {
        // ...
        
        // I removed most cases, but here's one of the most frequent offenders.
        // pretty much all the time is spent in GetRawInputData when handling this message.
        case WM_INPUT:
        {
            BYTE data[ sizeof(RAWINPUT) ];
            UINT data_size = furo_arr_cnt(data);
            UINT bytes_written = GetRawInputData( HRAWINPUT(lparam), RID_INPUT, data, &data_size, sizeof(RAWINPUTHEADER) );
            if( bytes_written == data_size )
            {
                RAWINPUT* raw_input = (RAWINPUT*)data;
                if( raw_input->header.dwType == RIM_TYPEMOUSE &&
                    raw_input->data.mouse.usFlags == MOUSE_MOVE_RELATIVE )
                {
                    int x_relative = raw_input->data.mouse.lLastX;
                    int y_relative = raw_input->data.mouse.lLastY;

                    // convert from screen space to OpenGL viewport space
                    y_relative = -y_relative;

                    platform_raw_mouse_delta_event( x_relative, y_relative );
                }
            }
            else
                log_err( "failed to get raw mouse input (ec=%u)", GetLastError() );

            break;
        }
        
        // ...

        default:
            result = DefWindowProcA( hwnd, msg, wparam, lparam );
            break;
    }

    return result;
}