Jonathan Kehayias lays out a warning:
This is not the type of blog post that I enjoy writing. First let me start off by saying this is not a bash against Microsoft, the SQL Server team, or anything other than an informative post to let people know that there is a potential performance limitation in a very useful feature of SQL Server 2016 and higher. The AT TIME ZONE syntax was added in SQL Server 2016 to handle changing datetime values from one time zone to the offset of a different time zone using string names for the time zone. This is a great feature that simplifies converting datetime values but there is an unfortunate draw back to the implementation; it relies on the time zones that are stored in the Windows Registry and therefore has to make calls out to Windows which unfortunately occurs row-by-row for large result sets when used inside of a query.
Read on for more detail, as well as the way that Jonathan fixed the performance issue.