That sounds like the famous MIDI buffer problem. I used to have that all the time but not anymore.
Someone else can correct me if I have forgotten the wrong place to fix this, but under Preferences | MIDI | Playback and Recording, I have a 1200 Millisecond Buffers in the playback section. (I also have Number of Buffers = 64 in the record section, but I don't think that's related to your problem.)
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Also, while we're at it, I always set the Audio | Drivers | ASIO Panel to a low number for recording and playing back MIDI (like 3 or 4 on the scale) and recording singers, and a higher number (like 6 or 7) for mixing *after* all synths are recorded or frozen. Low = less latency/delay; high=reduced pops/clicks/audio drop-outs. This is not your problem but you may enncouter this as well.