jwadley
I have the same problem but unfortunately don't have a solution to suggest. I'm using a Focusrite 18i8. The latency when recording MIDI with VSTs is so bad that it's just about impossible to record, even after adjusting the buffers and all that. Like the original poster, I tried recording on another popular DAW and had no noticeable latency. So I'm in the camp that suspects some kind of Cakewalk-Focusrite incompatibility.
A few years ago, the audio driver for Focusrite was causing SPLAT to crash every 10 minutes. Beta driver fixed that. It does seem to be an ongoing struggle to get that hardware to work with this software.
I'm using a Focusrite Audio interface (2i4 gen1) and it's fine with Cakewalk. Maybe you should stay with what worked for you, be that different hardware or a different DAW.
The only issues I've had with my Focusrite 2i4 in the past were unrelated to DAWs.
This
Focusrite product compatibility with Windows 10 'Fall Creators Update' support page at Focusrite.com focuses on the Windows 10 Fall Creators Update. Soon, we will have the Windows 10 Spring (April or May) update, so you might try a clean Windows 10 install of that - to reduce the possibility of issues. I like Windows very much, but I must admit that so many updates can be annoying. Again, they all seem unrelated to DAWs though for me. Welcome to the forum. I hope you can enjoy Cakewalk by BandLab (or the online version of BandLab).
As Jerry reminds us above, try USB 2.0. I use a 5 or 6 year old motherboard (Z77X-UP7) and connect the 2i4 directly to the USB 2.0. (MY 2i4 is a USB 2.0 device.) After so many years, this seems illogical at first, but Windows 10 changed something or had compatibility issues with the focusrite driver after the Anniversary or Creators Update, so I and a few other people needed to switch to USB 2.0 from USB 3.0 to eliminate audio dropouts in Windows in general. This was unrelated to DAWs. I was a little disappointed that I picked up a gen 1 2i4 only to find that the company was selling gen 2 (which have lower latency in general). I'm curious if they offer a discount for part-exchanging the old for the new.
Anyway, I would cleanly reinstall Windows now or after the next Spring (April or May) update and try everything cleanly with a fresh Windows install. Like I said, my gen 1 Focusrite 2i4 is working fine in Windows and with Cakewalk.
Any issues above were unrelated to DAWs.