It was discussed in one of the Harmony threads around here. Yes, there is indeed a delay and Logitech made it even worse with the current Harmony hub firmware which now has to reconnect not only after a switch to a different Bluetooth activity, but every single time. Really annoying. But the start of all my devices takes a few seconds anyway, so it’s not a really big deal for me.
Why the delay might seem bigger on Vero than on other devices? 
But there’s the suggestion to use a trick and control your Vero via RF with your Harmony hub (no delay, no reconnecting):