When I save the sales order it takes 'forever'. I see that we have a lot of User Event and Workflow. Is there's 'something' that will show me the time to execute each workflows / scripts ?

You can install Application Performance Management (APM) SuiteApp and start with analyzing Page Time Summary

I'm using it now, I really like it. I'm viewing/editing an SO I go to Page Time summary and the transaction are there every so often. Is it normal ?

Better to how many scripts and workflow deployed on sales order from scripted records and then check every script load/performance based on API usages and functionality. For more information please DM me.