I put an (old and inexpensive) usb soundcard with a latency of only 2.9 ms.
Somehow, this helped to get rid of the latency!
Why I had latency when playing the MIDI-master, while not having latency when playing the virtual piano with the mouse, I don't know. But that's not so important, since it works now!

Or, if you can't work out the how-to of that - but if you still only want super fast raw MIDI only, and never really use the built in audio features (like carrying your keyboard's audio to the PC as well as the MIDI signal) you might be best looking for a MIDI to USB cable - music stores, online etc. for anything from around $5 to $50. That's my go-to arrangement to avoid that latency (and other occasional hassles). You can sometimes get them cheap 2nd hand - don't need to buy the most expensive, they all do essentially the same.

Here's an example plug (on the expensive side).

I have the trial version of Pianotec 6.
The master keyboard is a Yamaha cp33, wich is connected to my laptop by USB (1,5 meter).
What I notice, is when I hit a note, the actual sound is some tenth of a second too late ('latency').
When I hit a virtual key with the mouse, there is (almost) no latency.

Is this a known problem? I tried other virtual instruments (eg. FL Studio) with exactly the same 'latency' problem.

Thanks for reading and maybe answering my post.

Have a nice day,
Viridis