Cathay interview will confirm that the gear doors do indeed add extra drag
Surely this is aircraft type dependant? Retraction of the landing gear on the 737 series makes no discernable difference in drag. Certainly while reference to the B737 series FCOM, and QRH advises the landing gear and flap positions should not be changed until clear of windshear, there is no explanation that could be construed that landing gear retraction drag is a significant factor in the recommended procedure.
The Cathay interview process may indeed include that gear door position may add extra drag but I believe that the main danger in a low level windshear escape manoeuvre is that the wheels may hit the runway in the go-around because of low airspeed - hence the Boeing advice of don't pull the wheels up until clear of windshear.