Yes, that is what happens. I think that first it downloads all the stars, then it downloads the property for each.
Not all *Data functions are so slow. The new, Entity-based ones are much worse than the older ones.
It turns out that AstronomicalData is actually usable here
magn = AstronomicalData["Star", "AbsoluteMagnitude"];
This first downloads a big part (or all?) of the AstronomicalData dataset, which will be kept on the hard drive. The downloads completes in a couple of minutes. Once that is done, it's still not exactly fast, but it is unquestionably usable. It evaluates in about 22 seconds on my computer.
Compare that to StarData, which will re-download for every session and is plainly unusable.