yeah apparently the remote itself doesn't send the signal for about 0.2 seconds. And there's nothing that can be done about that. The settings can be changed using the logitech harmony software and that can help, but it takes a lot of trial and error to see which setting work for you.
I use the harmony remote so that i can change activities away from xbmc etc, and so I can have handy on screen buttons of my choosing, but when i have folk over i always give them the original mce remote because the response on screen is instant. With the Harmony I don't only get the tiny delay but i also get frequent buttons presses that just aren't picked up at all by xbmc, which is FAR more annoying because you don't know whether t press it again, or whether xbmc itself is just taking a couple seconds t do it's thing.
Things you can d to make the dalay less annoying:
1 Use a skin that is easy to navigate (i use quartz which isn't the most visually stunning but has everything you need on screen on one home page.
2 make sure you have the ability to tap a number key to skip to a certain letter in a long list, for example in my music artists list i can hit number 8 to skip to the section of the list with artists beginning with T (ie its using the sms style text input)
3 have the harmony's on screen buttons setup to do the most frequent things you use, for example i have buttons for "tv shows" "favourites" "settings" "navi-x" "play random music playlist"
4 whichever app or section of xbmc you use the most, you can setup xbmc so that when you press the play button on the remote it opens that addon/section of xbmc (very handy)
5 use the page up, page down type buttons as well (the little up and down arrows on the remote)
6 you can even setup the ~ button and the + button on the harmony remote to open a part of xbmc you use frequently (addon/tv shows/movies etc)
7 i find myself quite often holding down the direction key (for example down when scrolling through a list) and you get quite good at judging when to stop
8 when adding buttons to your remote screen make sure you add the specific part of teh addon that you use. for example my youtube button takes me directly to the search youtube part of the youtube addon. and my 1channel button on my screen takes me directly to popular movies.
some of things above are not easy to figure out how to d using the forum search so reply here or PM me if you want to know how t do any of those things