The only thing I've ever played with where I didn't notice a delay on the side tone was piHPSDR using it's built in keyer and a MIDI control. That said I'm not much of a CW operator. Generally what I see recommended is to use an external source to generate the side tone and then mix it back in with your audio.
I'm only answering because it's been a long time since you posted your question and there has been no other response. DL1YCF is the guy you really wish to hear from. I'm sure he will see this eventually.