It might be possible you may have too many custom maps installed.
I've had this issue before where loading takes ages if I had too many custom maps installed.
Not sure if the Ultimate Collection has this issue as well since I'm a Steam user. c:
You can check the amount of installed custom maps by pressing Windows Key + R, then type in "%appdata%/Red Alert 3/Maps".
Try cleaning(perhaps make a backup first) the list and give it another try.
I don't have any custom maps installed... I haven't played online on the C&C series since gamespy went under(other than C&C4 which still has net service) and this system is from after the service was shutdown(used to own the series on disc and played on my old pc) so unless it needs me to make folders for it to download to(unlikely), that can't be it...