I'm not sure why this happens. I guess it would be useful to narrow it down to a single setting.
I can't see how Construct could cause more than two or three frames latency given double buffering, which should appear almost instant. It might be something to do with graphics cards settings, VSync, mouse settings, or a combination. I don't know of anything I could do to rectify this at all; as far as my code does, it gets the mouse position and draws it, all in the same frame, so I can't see where such a large delay would come from!