Does the whole "Lock Screen is just UI" thing also hold true on Samsung phones where they use Knox? Samsung phones seem to have a long delay after the PIN is entered in for the first time.

By "Entered for the first time", I assume you mean after a fresh boot? If so, that means the phone is Before First Unlock (BFU), where the user data is actually encrypted. The "Lock Screen is just a UI" applies to After First Unlock where its just a UI element. BFU and AFU are essentially the core two states in the mobile device security world. Not sure why it would take a long time on Samsung devices though, it's usually almost instant on most handsets.