Hello Riccardo, not sure (really) whether that would help but i did see a massive performance boost going to convex #0.13 development version. See this thread:Convex.jl : remarkable increase in perf in dev version (0.13.0) compared to v0.12.6, (now as fast as R/CVXR)
You may want to try it!
[and thanks for your issue #163 on SCS.jl, It enabled me to compile scs (the C library) in a julia-compliant way, not a piece of cake! 
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