I am not sure whether this change will improve the performance or not.
However, note that 
eigen_ktrtr*CMath::sq(m_scale)  is a operator* overload method in  Eigen::MatrixXd
The time complexity of  the operator* overload method  depends on the implementation of Eigen::MatrixXd. The time complexity could range from O(1) to O(n^3)
Original code:eigen_ktrtr*CMath::sq(m_scale)*eigen_sW.asDiagonal())
Matrix * scalar * Matrix

I will do a test to estimate the efficiency of the change I made. For example, run the same line 100 times and compute the average average elapsed  time.