The time needed for your Quick Keys and or your Pen Tablet to connect to the wireless dongle can vary depending on your environment. It can take up to 20 seconds to make the connection worse case.
In most cases, the connection will take between 10 to 15 seconds. Once connected, there will be no lag while you use your devices.
The image to the right is taken from the Quick Start Guide for the Pen Tablet Medium Bundle.
This shows connecting the Pen Tablet and the Quick Keys to a computer using the Wireless Dongle.
If you would like to look at the entire Quick Start Guide, the link is listed below.