The better DAW’s automatically compensate for latency on playback. Cakewalk should.

The issue is monitoring while tracking. You need to hear the keyboard directly rather than monitoring after the trip through the DAW, otherwise the interface latency will affect the sound. If you MUST monitor while tracking, you need to set the soundcard’s buffer as low as possible, and with less expensive soundcards this may still be discernible. The Cakewalk book probably explains this…