In Railroad Tycoon 2, certain buildings and managers allow decreased "turnaround time" for your stations. I've never quite understood it.
Station turnaround takes a specific amount of time, usually only a few seconds, a remarkable amount of time in real life, but given the accelerated nature of the game, every tick counts.
Station turnaround can be decreased by hiring a manager that, if history notes him for his efficiency, tends to reduce station turnaround by as much as 20% or so. If your scenario involves territories, then customs will also tend to slow down your turnaround. Purchasing a customs house will expedite the handling of freight being handled at the station. As far as I know, a customs house will not expedite freight being delivered at a different station in the same territory.
As far as your other questions,
"Do your cargo generating buildings churn out cargo that much faster?"
You mean, like if you have a coal mine, will station turnaround make them increase their output? No, these buildings have their own generation rate. If your friend bakes you a dozen cookies, how fast you drive to get there will not make them bake faster.
"Do your trains load and unload faster?
Yes. That's what station turnaround means, and only that. How long it waits at the customs counter and how fast the coal gets mined are separate elements.
Does it increase the rate that demand builds up?"
No, like demand, supply is on it's own, and amazingly it appears corelated to the supply rate. Speeding up the station efficiency will not make the residents hungrier for food or thirstier for alcohol.
While not directly related, station turnaround can also be compounded by train breakdowns and crashes that happen in station or on the approaches from both directions or on the track occupied if you have double-track through the station.