I have the same Problem, using Cubase SX v2.0.2.31
Audio latency with ASIO is ok, but I get HEAVY delays when trying to record midi input from my keyboard within Cubase. No Problems with GSIF by the way, when I route the midi input directly to Gigastudio, it works wonderfully.
My card is an Audigy2ZS - and I already regret to have wasted money on that one.
edit: Aah, forgot the rest of my config...
The CPU is a P4 2,0ghz (Northwood), running at 100(effectively 400)mhz FSB, hogged to a Gigabyte GA-8IRXP, with an Intel i845 chipset. The System has 512MB ram, running at 133/266mhz (I don't know why it runs asynch. As long as it works, who cares anyway)
The soundcard does NOT share an IRQ with another device.
I get the same delays on both midi inputs. Doesn't matter if I connect the keyboard to the gameport or to the external IO box.