I would suspect something in the OS setup that is interrupting the USB MIDI connect more than I would the Midjay.
Check your IRQ table for sharing (NOT the same as Microsoft reporting "OK" but it is always good to make sure that the USB is not sharing with something of high bandwidth like vid card or networking, etc.). Sometimes use of a USB hub or USB peripheral card can work around such issues, too.
Antivirus softwares can sometimes interrupt MIDI data stream or make it late, too.
Also, be certain that the Midjay itself is what you are hearing, I'm thinking about a fellow who was actually listening to the Microsoft Software Synth, mistakenly believing he was hearing his hardware unit...
The Microsoft Midi Mapper should never be chosen in the host software either, for that can reroute to the software synth, too.
The Midjay is a hardware synth and as such, there is Zero latency involved. If you have a controller such as a keyboard, try hooking it directly to the Midjay using a standard MIDI cable from controller MIDI Out to Midjay MIDI In and play it directly to proof that.
There really is no way that the Midjay itself can introduce latency, as soon as it receives a MIDI Note-On command, it will respond to it. So there must be something in the puter interrupting or slowing down the MIDI output stream.
Trobleshoot by isolation, one thing at a time, if what you try doesn't change anything, switch it back before moving on to trying something else so as not to compound other issues as you go.
Good luck, this one should be solvable,
--Mac
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"Keep listening. Never become so self-important that you can't listen to other players. Live cleanly....Do right....You can improve as a player by improving as a person. It's a duty we owe to ourselves." --John Coltrane
"You don't know what you like, you like what you know. In order to know what you like, you have to know everything." --Branford Marsalis