GX is a bare metal instruction set for the wii's ATI GPU. Emulating those same instructions via DirectX/OpenGL is about 10 times slower, especially when transferring textures because the main memory and GPU are no longer tied together like they are on real hardware. And those emulated ops are executed by the graphics card. The same graphics card that is also doing a bunch of other stuff for your OS that the wii's GPU never had to, like compositing and rendering the desktop. As I already said, if there's no graphics being drawn a basic Core2 PC (E6600 for example) will run dolphin faster than a real wii system runs - I know this for a fact and if you try to play Desert Bus you'll see evidence of it.
Just because it looks like your CPU utilization is at 100% while dolphin is running, doesn't mean it's being used to emulate the powepc; dolphin likes to use spinlocks as synchronization primitives so threads end up sitting in while loops instead of being suspended.