Delay on midi playback for external device


I’m controlling an external midi synth with a Kontrol S-61 MK2 via Cubase

When I play, there is next to no latency and a virtual synth that I am layering triggers at the same time.

When I record midi, the virtual synth plays back in time with the metronome but the external synth has a delay.

I don’t understand why when I play there is no delay but with midi playback there is.

Any ideas?