Mine has absolutely no lag. I get 1ms pings to my router from all PCs behind the bridge. I use remote desktop and get no lag at all. I've been using mine for over a week and I love it.
I just got that exact same thing in the mail today. I've got it hooked up with 4 PC's behind it and it has zero (well, <1ms) latency. It is sweet so far.
Get it from buy.com...it's cheaper (plus free shipping) there and I have had nothing but great experiences with them.
Good luck!