A-ha! So it’s not psychological – wiggling your mouse on Windows does help Windows ‘do its thing’, as confirmed by this Microsoft support article for when retrieving data from Oracle with Excel: KB168702.
Here’s the all important quote:
If you move your mouse pointer continuously while the data is being returned to Microsoft Excel, the query may not fail. Do not stop moving the mouse until all the data has been returned to Microsoft Excel.
Awesome. If you jiggle it around harder does the query execute faster?