Subquery slows down execution when no rows returned...

SELECT * 
FROM  `mydb`.`dataload` sb
WHERE sb.`domain` 
IN (
SELECT dm.`domain`
FROM  `mydb`.`domain` dm
INNER JOIN  `mydb`.`set` st ON dm.`set_id` = st.`set_id` 
WHERE st.set_id = 6
)
LIMIT 2000

SELECT sb.* 
  FROM mydb.set AS st
INNER
  JOIN mydb.domain AS dm
    ON dm.set_id = st.set_id 
INNER
  JOIN mydb.dataload AS sb 
    ON sb.domain = dm.domain
 WHERE st.set_id = 6
LIMIT 2000