Glad to hear at least that the initial problem was resolved.
You're correct, any communication between a Cayenne widget and a Pi on your home network is going through our cloud server, so that will introduce some latency, but it shouldn't be that much at all. I just ran a test with cell phone on cell internet --> Cayenne cloud server --> home router --> WiFi --> device to turn on and off an LED (basically the slowest test I could think of) and it was still less than a second to blink the LED.
What sorts of round trip times are you seeing? Does it improve at all if you connect the Pi by wired Ethernet and connect your phone to the WiFi network?