SYSMark's favoring of processors with SSE instructions is part of the explanation why the Celeron CPUs perform at the bottom of this list. But keep in mind that performing at the bottom of this list isn't bad at all, when the FC-PGA 500E is the next "slowest" CPU.
The 66MHz memory bus of the Celeron does contribute to its shortcomings here, which is a problem that will haunt the CPU throughout its life.
The Content Creation Winstone 2000 test is a little better than the SYSMark 2000 test in terms of favoring SSE enhanced processors. While the Celeron 533 holds the same spot, it is much closer to the more expensive 500E. For a chip that can be used on an old LX board, the performance isn't bad at all.