I am having the same problem. It's called Latency. I don't know if this is corrected by using a high powered/more expensive MIDI Interface or what!
One alternative is to experiment with adding value to the MIDI Latency box. It is located under the MIDI pull-down, click "MIDI Setup", click "Show Advanced"--In the lower left corner of the box is the MIDI Latency box -experiment with values of intervals of 100 (may possibly be positive or negative?)
1/1G Mac G4 with 1.75 Gigs of Ram with 3 Hard Drives. Korg LE, Ensoniq ZR76, Yamaha S03, Kurzweil K2000, Kurzweil K2vx. Finale 2006c
2/Toshiba/Windows XP SP2 Laptop 1.60GHz 704MB Ram