theres another issue where many relays are overloaded and don't return things in time, so relying on a subset of relays can make loading slower. Perhaps you can collect response time stats and prioritize the fast ones? Fetching from all just seems simpler even though it can be bandwidth intensive.

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So my client subscribes to all the pubkeys I follow, could it remember which 1 or 2 relays responded fastest for each pubkey and after the first poll only subscribe to the fast relays for each pubkey for remainder of the session?

Seems like it could save a lot of bandwidth and relay load.

Fetching of events not be a lot of bandwidth relatively speaking, it would have to be measured. I suspect web content referenced by events constitutes a lot more data than the event structures themselves.