If your computer and audio interface are good, you can get to very small latencies. It'll still be higher than the most direct path, which will be from the Sylphyo to its upcoming internal soundcard to its headphone jack, but fortunately you're not likely to perceive the difference if you have good equipment.
Here's a quick recap of the respective latencies induced by each element (as a rule of thumb, as it's a bit more complex in reality):
wireless system: less than 1ms
USB-MIDI: at least 1ms, up to 10ms depending on your OS and computer
computer audio: from 2ms to around 10ms for USB audio interfaces, but less than 2ms can be achieved with Thunderbolt/PCI/PCIe audio interfaces, a powerful computer and good settings
So in this gross estimate, at best, you could achieve 3-4ms latency (and a slight bit of jitter) with a very good fine-tuned computer, from the moment the Sylphyo outputs a MIDI message to the moment the computer outputs sound. When the internal synth is available, this latency collapses to a constant 1,5ms. It's unlikely you can hear the difference between both
cases, but maintaining this kind of performance with a computer is hard.
If you have a MIDI synth you can connect to the wireless receiver, you just add 1ms to the synth's own latency, so that can be good.
The main point is: when it comes to latency, the wireless system is not the bottleneck, because it has been designed specifically to this purpose and seems to do its job well.