Dorico loads the playback sounds for the project that you put on the front if they have/had the playback activated in their last “being on front” status (only one project at a time can have the playback activated: this is the normal behaviour of other DAWs as Cubase or Logic). This causes the lagging that you are referring to if you keep switching windows with activated playback on each. I suggest you only have one project activated, and deactivate the playback for the rest of the projects with this icon set on gray:
There is a very convenient preference in Preferences/Play dialogue to handle the activation behaviour when opening multiple projects:
