I just got through looking at the Capella site. Now, I can see what is going on. In the "Playback Devices" tab in capella-tune, set "Wave Out" under "Wave Output for VST Devices" to ASIO, which you probably already have done. Now, click the "ASIO" button. If it is like most "ASIO" buttons it will bring up the Audiophile 2496 soundcard settings. Make the sampling frequency 96khz (the higher the sampling frequency, the less latency/delay) and the sampling rate 128 or 256 (the higher the sampling rate, the more latency/delay). That should take care of your latency/delay problems.
I just thought of what you might have ment when you refered to a MIDI Out softsynth, after viewing the Capella site. MIDI Yoke does not make any sounds. It only patches MIDI from one place to another. A VST instrument, like Dimension Pro, on the other hand, does make sound. The confusion comes from the way Capella has setup their "Playback Devices" tab. By the looks of the Capella site, if you installed a VST like Dimension Pro, then it would show up in the MIDI and VST Output box. By selecting it you would hear sounds from Dimension Pro. What is really happening is MIDI is coming in from a source, like Capella or your keyboard, and is sent out to the VST instrument like Dimension Pro. Capella has just confused everything because they put the MIDI Outs and VST's into the same box. There is no such thing as a MIDI Out softsynth. They should have set it up with a MIDI In/Out section and a VST section.