Could not find in FAQ/wiki, how fast are NXT transactions? I've purchased some coins from dgex, but seems they are doing it manually, so I've tried to use faucet
http://nxtra.org/faucet/But account shows 0 balance, and the blockchain says:
So, what's happening? Are NXT transactions slower then even bitcoin ones?

The faucet is also not automatic: wesley uses a cron job on his server to process all of the transactions that are queued. He's posted the source code for his faucet, but I don't know how often his cron job runs.
I checked the faucet account, and your transaction has not actually been SENT yet.
Once it has been sent, you'll get it in under a minute (as soon as the next block is generated). At current transaction volumes, there's no reason for a delay.