Telomir
I suspect that this delay has something to do with the MS GS wavetable synth.

That's right. Onboard GS Wavetable synths typically have an inherent latency of around 50ms above an beyond normal audio latency. They are unusable as sound sources in a DAW because even on playback of existing MIDI, the audio from the Wavetable synth will be extremely late compared to soft synths and recorded/imported audio tracks - not to mention, the sound quality tends to be inferior to any decent soft synth.
 
 

I know it's a bit late in the thread, but I ran into a similar issue with softsynths.  I decided to track a MIDI part on a new track after being most of the way through the mix.  I thought to turn off the FX bins globally while tracking but that didn't work -- I found that I needed to turn the audio engine off and back on again to get it to unload them properly, and then the latency came right back to normal.

Bob, just wanted to say thanks because this solved my latency problem!  Ferni D

Hello. I am a complete beginner just trying to use my Roland A 49 to perform live, at least to start. I am having this latency and because I know NOTHING about any of this, still cannot get the sound to come with the playing through my laptop.

First make sure and install the Roland driver for the USB midi. 
Next you will probably need a proper audio interface to get lower latency. On board sound cards are not really designed with low latency in mind. Sonar runs best in ASIO mode and those drivers will come with most respected brand interfaces. 

I would also suggest going through tutorial on using a soft synth and midi.