XP and 98SE (I just started a VM to check) also don't have any delay, so I suspect that those who are seeing one are just experiencing some natural sluggishness rather than a deliberate delay.
Indeed I tried and even though I can get a switch without any frame of UI showing, it is very hard to press and release fast enough. It's not a delay like I implemented, but most likely the UI being terminated before the next frame, so nothing shows.