Even the most optimised GE game can run slow on GP2X (or Pocket PC) if it’s complex, large or both. I'm finding that I have to overclock the GP2X to get it to run my games as well as my pocket pc does. Overclocked it runs them nicely. What disappoints me slightly is that my games are much simpler than many you see being emulated in Mame, and incredibly simple compared to something like Payback or even Vektor which both run smoothly on a GP2X without overclocking.
I know Makslane has done some work to improve GE game performance on GP2X in the past and I don’t know what he's got planned for the next release, more speed increases would be great! There are some bugs that wont help optimising things on GP2X as well that apply to all platforms, like when you move the view from one area to within a new activation region the screen is displayed black as though the view has gone to the wrong place (Makslane is fixing this I think). And there is also a problem with the coordinate system that applies to GP2X only which again I think Makslane is fixing.
I'd say so long as you intend to keep it fairly simple you'll be fine, I'm always trying to push the boundaries so I’m having to constantly look for quicker more efficient ways to do things, it is a definite learning process (which is never ending). On the plus side if you create one game in GE, then you can export it to a whole bunch of platforms at the click of a button, which still impresses me more than a year after I started using it