Firstly, to minimise latency, the ASIO buffer size must be set to something small, typically 128-512 samples (any lower than this and it increases CPU load and increases the risk of dropouts). You also need to be using the Focusrite ASIO driver and not the Generic Low Latency Driver.
The setting in Preferences > Play > MIDI input latency compensation has no effect on how quickly incoming MIDI notes are played back. This actually applies an adjustment when trying to work out the musical time of the recorded notes. It’s used if you find that the notes in the score are always a bit early or late. See this earlier post for some tips in setting that: Tips for MIDI recording - #2 by PaulWalmsley