This is true. But it goes for many UA in some way or another that they are affected by speed, mapsize and whatnot.
Anyway, the happiness is acutally better on slower speeds. Why? Because it's worth as much but you'll find the NWs alot sooner (not sooner in gameturns). Also, all tile yields are worth the same regardless of speed.
If you spy on the AI you can see also that the AI has different production costs (cheaper costs) than you do on wonders. They get bonuses apparently on Wonders if you look at their city screen. They already get enough - another bonus wouldnt help