Last thing first. I'm fairly sure it is calling a new implementation of explorer each time, but that's quite quick, my 'problem' (for it's not a serious issue at all) is that it's only the name of the folder which shows when you hover over the folder image on the task bar that's taking so long. I would love to be able to tailor the folder image to show the drive.
All on one image? That does sound like the proper way to do things. Certainly I'm using up two inches of task bar on a 16" screen. I'll give your way a go, but it's not as quick as one click and zooming to a precise point. Or it wouldn't be if one could see it was the right button instantly.