I don't know if building a line to Southeast would be any faster since you have to go north and then make a u-turn and head south so the travel times would probably be similar. The tracks along the Danbury Branch are 40-60mph , you could upgrade those to 70-100mph with some curve straightening and electrify the line thus shaving off 20-30mins. That would service the large employers and cities along route 7 and 95 which is higher then routing via Southeast/White Plains.