Every additional device introduces a certain amount of delay, if only for the longer copper wire the electrons have to move through. Wii to VGA adapters are passive, they do not convert the signal, merely adapt the mechanical plug type, and thus its additional latency is in the low nanosecond range, which is completely negligible.
Wii to VGA converters, on the other hand—which include the Mayflash VGA004—do analog to analog processing, which takes less than 1 millisecond (Fizzi measured roughly 0.1 milliseconds for one of those, the StarTech component to VGA converter). It’s only likely that your device lags more if it does upscaling or line doubling, which the Mayflash cables do not.