The lag you are hearing has almost nothing to do with the MIDI keyboard - its called Latency and it is dependent on the speed of your computer, the efficiency of your audio interface, the buffer settings in your software, and the performance of the software.
When you hit a key, the MIDI signal enters your computer very quickly - then the computer has to call up the software, access the sound file, read the sound digital waveform (and transform it as necessary with velocity values, effects, etc), load it into the buffer of the audio interface, and then tell the interface to spit the sound out the output jack.
The main variable is the buffer size - if you have a large buffer, it takes longer to fill it before the sound is sent out. However, if you make the buffer too small, then it empties before the machine can fill it back up again, and you get audio glitching and distortion.
The faster your machine and software performs, the smaller a buffer you can set, and the shorter your latency will be.
The more stuff you are running (instrument software, effects, other software and other OS processes) the slower your machine will be, and the larger you have to make the buffer.
So the moral of the story -- for audio use, keep your machine lean and mean - turn off all your Internet, wireless, background programs, etc. (one good way is to create a second User account on the machine and customize it by stripping it down). Don't load up any more audio software, instruments and effects than you actually need. Read your manuals and experiment with reducing the buffer size. Use the fastest computer you can practically afford. Make sure it has plenty of RAM and a fast hard drive. Use a second (external) hard drive for audio and instrument files to take the load off the System drive.