I'm having the exact same issue. If I connect to my Slingbox Pro using the browser plugin on my laptop, I get speeds in excess of 5000 kbps. On my iPhone 4S, I can use a speed test application to verify that I'm getting over 25000 kbps to my phone - from outside of my network (I have Verizon FiOS). However, in the SlingPlayer app on my iPhone (with wireless data disabled, so I'm sure I'm connected via wifi), I only get about 580 kbps max.
I've seen several threads on this topic, but not one has provided any real answers, other than blaming the users' network configuration. I'm convinced there's a problem in the app itself, or in its connection to the Slingbox. Can someone shed some light on this problem?