What the Beagle said.
The delay is not coming from the MIDI part of the equation, it's from the audio.
MME is probably stable with the built-in sound card, but it gives the worst possible latency.
If your sound card supports WDM or WASAPI, you
may get better latency using those modes.
Soft synths are entirely at the mercy of sound card performance, and ultimately, you will probably find that an interface is essential.