Sibelius, by default, uses Kontakt player (a software synthesizer) to playback the MIDI, which will have a slight delay, depending on the settings and capabilities of your soundcard. You can either:

1. Change the latency (buffer size) of your soundcard.
2. Disable Kontakt and use an external MIDI device to playback MIDI. Go to Play Devices, set Kontakt Player to NO, and set the keyboard device to YES.