Roland are bragging about low latency "VS Streaming driver" and the use of MIDI keyboards on virtual synth's.
My system lags a lot in this department.
Trying to find their driver in Midi/Driver settings, I can only find the windows drivers. (MME and WDM i think it was)
Both lagging too much to be of any use.
Is there a Roland driver for MIDI somewhere?
Also: Would I be better off connecting the keyboard directly to the Roland via MIDI plugs in stead of USB?

does it have something to do with latency\buffer setting, if so what is your latency setting on your roland octa-capture?

I havent seen any setting on MIDI-latency yet.
Audio recording is flawless and without latency.

The latency you are experiencing is likely an audio issue. It depends on the audio buffer setting for the interface and plug-in delay compensation used by the DAW to keep everything in sync.
 
To see if plug-ins are the problem toggle the FX button in the Mix Module to bypass all plug-ins (keyboard shortcut E). If the delay goes away when the FX plug-ins are bypassed, the problem is plug-in delay compensation. While reading about the FX button also check out the PDC button.
 
In this case, my guess is the audio driver and buffer setting are the issue. Roland supplies ASIO drivers for their interfaces. As a rule, manufacturer supplied ASIO perform better than WDM. MME is the worst performer of them all. If ASIO is not an option in CbB driver mode preferences, install the ASIO driver from the Roland website. Then set the buffers in the client supplied by Roland.
 
Note: this has nothing to do with the MIDI driver mode.
 
From a performance perspective it does not matter whether the controller is connected through the MIDI DIN connectors on the audio interface or USB. The MIDI connection is not the problem.

Well, I use Quad Capture without any probs  playing virtual synths with my keyboard. Midi driver Modell is MME or UWP, I use MME (default). I have an older Roland Epiano (without USB) connected directly to the Quad Capture with midi plugs and Line in as well. I can switch on the keyboard to record audio or play Virtual synths with the same instrument. In Cakewalk  Quad Capture is checked as Midi In and Out. Maybe you can try to change the buffersize and prep-time? 
 
Cheers :)
 
Edit: For my Audio driver I use ASIO the quad cap driver, but that's another chapter.

Thanks, guys!
My buffer is on the safe side.. 7 or 8. (I'm at work, and can not check any facts. )
Yes, I have ASIO drivers. Are they involved when using a soft synth?
I'm confused, because they are available through the audio chapter in settings. So is the Asio control panel.
MIDI is confusing as heck. 
Here's what I'll try when I get home: Reduce latency/buffer until crakling and anomalies appear. Increase until stable.
Check some soft synth without any active plugins.
Do plugins on say, the bass track, increase latency on the MIDI/Soft synth track?

When you play a soft synth from within Cakewalk, the engine is putting out audio which means you'll be experiencing whatever latency that you have set with your audio driver. When you're in ASIO, just hit the ASIO panel button in the Preferences and you can adjust the buffer size slider for the Octa-Capture and you should be able to get it low enough to play without too much issue. Also just bear in mind that some plugins can also introduce additional latency, so when checking how your latency response feels, I'd suggest doing it from a new empty project.

The audio drivers are involved in everything you hear from the DAW.
 
It does not take much time for MIDI data to get to the soft synth, the synth to interpret the data and generate the sound.
 
The delay happens when the DAW is sending audio back to you. This is where all the buffering adds up to create "MIDI latency", the delay between pressing a key and hearing the sound. As mentioned above buffers involved are the ASIO buffer setting and the buffering used by the DAW to compensate for FX plug-ins in the project that need time to process data. Not all FX plug-ins require large amounts of time to process data. Typically mixing and mastering plug-ins such as dynamics processors (compressors and limiters) and impulse response reverbs are the issue. The plug-ins could be anywhere in the project. This is why the easy test is bypassing all plug-ins using the FX button in the MIX module. If the delay changes, it is at least partially due to plug-ins. If not, it is solely due to the interface buffer setting.
 

Buffer on my Quad Capture is 5, which is 128 samples, my midi in seems tight enough.

I use 2 Studio-Captures linked together for 32 ins and 20 outs. Sadly, the only place you can get the driver's if you are a Windows 10 user is thru Windows Update.
You have to uninstall the driver you have. Run Windows Update with your device hooked up and turned on. Update will see your device and install the correct drivers for your device. Among those drivers you should find the ASIO driver.
Big mistake for Roland to sell off the drivers to Microsoft. There has been no updated drivers for the Capture series since their debut.
I am able to get down to 128 and 256 samples with some pretty hefty sized projects on some pretty old computers but only using ASIO.