No, there's no faster way that's supported. YOu might be able to get better performance by connecting an additional drive, moving the files you want to move to that drive (using Remote Desktop or physical console) and then moving them to the new share (via \\server\<sharename>).
The performance you see isn't a limitation of Windows Home Server, by the way. It's inherent in the way Windows handles file shares. As far as your client operating system is concerned (and if you use the shortcut on the server desktop you're using the server as a client) there is no way for it to determine if two shares are on the same media. So it does a read from locaiton A and a write to locaiton B. Within a single share moves are fast because they just manipulate directories.
I'm not on the WHS team, I just post a lot. :)
