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ADO Tables, have I set this up incorrectly

ADO Tables, have I set this up incorrectly

(OP)
I am trying to build an application that is quick. I have using SQLSERVER for the backend and Delphi's ADO components for the front end. I'm having speed issues with some ADO tables so thought I would check the statements against the database and was surprised with what they were executing.

I have a SALES_HEADER and SALES_TRANS tables I have linked the SALE_TRANS table to the SALES_HEADER table by the PK. I would have expected that when the SALES_HEADER record was changed then only the SALE_TRANS records for that header would be asked for from the database but it appears that all records are asked for and Delphi filters out the wrong one within the Application. This makes for a slow application. Also by changing the Fields in the column editor of the tables I have only asked for a couple of fields but Delphi is still asking for all fields by executing a Select * from Sales_Headers.

Have I set this up wrong or is this normal practise for these components.

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