The performance of RemoveItems method was bad due to O(n^2) algorith used. The RemoveItems looped the subscribed items once for each removed item. I have subscribed something like 10 000 items and removing them required several seconds of CPU time.

Here is a new fixed method:
/// <summary>
/// Removes items from a subsription.
/// </summary>
public virtual IdentifiedResult[] RemoveItems(ItemIdentifier[] items)
{
if (items == null) throw new ArgumentNullException("items");

        // check if there is nothing to do.
        if (items.Length == 0)
        {
            return new IdentifiedResult[0];
        }

        // remove items from server.
        IdentifiedResult[] results = m_subscription.RemoveItems(items);

        if (results == null || results.Length == 0) 
        {
            throw new InvalidResponseException();
        }

        // Fix starts
        var removedHandles = new HashSet<object>();
        foreach (var result in results)
        {
            if (result.ResultID.Succeeded())
            {
                removedHandles.Add(result.ServerHandle);
            }
        }
        // Fix ends

        // remove items from local list if successful.
        ArrayList itemList = new ArrayList();

        foreach (Item item in m_items)
        {
            // Fix starts
            if (!removedHandles.Contains(item.ServerHandle))
            {
                itemList.Add(item);
            }
            // Fix ends
        }

        // update local list.
        m_items = (Item[])itemList.ToArray(typeof(Item));

        // update the local state.
        GetState();

        // return results.
        return results;
    }