Several reasons

Header files

Every single compilation unit requires hundreds or even thousands of headers to be (1) loaded and (2) compiled. Every one of them typically has to be recompiled for every compilation unit, because the preprocessor ensures that the result of compiling a header might vary between every compilation unit. (A macro may be defined in one compilation unit which changes the content of the header).

This is probably the main reason, as it requires huge amounts of code to be compiled for every compilation unit, and additionally, every header has to be compiled multiple times (once for every compilation unit that includes it).

Linking

Once compiled, all the object files have to be linked together. This is basically a monolithic process that can't very well be parallelized, and has to process your entire project.

Parsing

The syntax is extremely complicated to parse, depends heavily on context, and is very hard to disambiguate. This takes a lot of time.

Templates

In C#, List<T> is the only type that is compiled, no matter how many instantiations of List you have in your program. In C++, vector<int> is a completely separate type from vector<float>, and each one will have to be compiled separately.

Add to this that templates make up a full Turing-complete "sub-language" that the compiler has to interpret, and this can become ridiculously complicated. Even relatively simple template metaprogramming code can define recursive templates that create dozens and dozens of template instantiations. Templates may also result in extremely complex types, with ridiculously long names, adding a lot of extra work to the linker. (It has to compare a lot of symbol names, and if these names can grow into many thousand characters, that can become fairly expensive).

And of course, they exacerbate the problems with header files, because templates generally have to be defined in headers, which means far more code has to be parsed and compiled for every compilation unit. In plain C code, a header typically only contains forward declarations, but very little actual code. In C++, it is not uncommon for almost all the code to reside in header files.

Optimization

C++ allows for some very dramatic optimizations. C# or Java don't allow classes to be completely eliminated (they have to be there for reflection purposes), but even a simple C++ template metaprogram can easily generate dozens or hundreds of classes, all of which are inlined and eliminated again in the optimization phase.

Moreover, a C++ program must be fully optimized by the compiler. A C# program can rely on the JIT compiler to perform additional optimizations at load-time, C++ doesn't get any such "second chances". What the compiler generates is as optimized as it's going to get.

Machine

C++ is compiled to machine code which may be somewhat more complicated than the bytecode Java or .NET use (especially in the case of x86). (This is mentioned out of completeness only because it was mentioned in comments and such. In practice, this step is unlikely to take more than a tiny fraction of the total compilation time).

Conclusion

Most of these factors are shared by C code, which actually compiles fairly efficiently. The parsing step is a lot more complicated in C++, and can take up significantly more time, but the main offender is probably templates. They're useful, and make C++ a far more powerful language, but they also take their toll in terms of compilation speed.

Several tips:

1. Put inserts/updates in a transaction.
2. For older versions of SQLite - Consider a less paranoid journal mode (pragma journal_mode). There is NORMAL, and then there is OFF, which can significantly increase insert speed if you're not too worried about the database possibly getting corrupted if the OS crashes. If your application crashes the data should be fine. Note that in newer versions, the OFF/MEMORY settings are not safe for application level crashes.
3. Playing with page sizes makes a difference as well (PRAGMA page_size). Having larger page sizes can make reads and writes go a bit faster as larger pages are held in memory. Note that more memory will be used for your database.
4. If you have indices, consider calling CREATE INDEX after doing all your inserts. This is significantly faster than creating the index and then doing your inserts.
5. You have to be quite careful if you have concurrent access to SQLite, as the whole database is locked when writes are done, and although multiple readers are possible, writes will be locked out. This has been improved somewhat with the addition of a WAL in newer SQLite versions.
6. Take advantage of saving space...smaller databases go faster. For instance, if you have key value pairs, try making the key an INTEGER PRIMARY KEY if possible, which will replace the implied unique row number column in the table.
7. If you are using multiple threads, you can try using the shared page cache, which will allow loaded pages to be shared between threads, which can avoid expensive I/O calls.
8. Don't use !feof(file)!

I've also asked similar questions here and here.