Welcome to the forum!
You say it's a MIDI controller keyboard, but also that it makes a sound when you hit the keys ?? So I assume it's a MIDI keyboard instrument, not only a controller. Anyway, that's not important.
IMO It's not a good idea to listen both to the keyboards own audio and the softsynth. That will get you distracted, latency or not.
And, as Bob Bone mentions above, it's the audio interface and its drivers that take care of the latency and evrerything, and your post doesn't give any info regarding those. The latency is controlled by the buffer settings
of your interface. The total roundtrip latency (input+output) should be under 20 milliseconds, the less the better.