I'm not surprised at all by your findings. I was involved with a project that required optimal insert performance and was eventually forced to drop MySQL entirely after much tweaking and experimentation. After converting the application to use an OpenBase database, insert performance went up by about a factor of 10 and we were finally able to handled the high rate of inserts our application demanded.
Don't misunderstand me, I use MySQL wherever and whenever possible. But, if your looking for maximum performance, especially for inserts and updates, MySQL is likely not the right fit for the job.
Others may have different experiences, but I was very impressed by the difference in performance between MySQL and OpenBase. Sorry I've never tried comparing MySQL and MS SQL Server since I don't use Windows or any MS Technology.