Can you quantify "a bit of a lag"?  MSP is not intended to be a real-time system.  When a device checks-in, it places documents on the Relay Server.  MSP has a periodic task to scan Relay Servers and pull and process documents.  You can use the Admin Tool to configure somewhat how often MSP wakes up to poll Relay Servers.  You can also adjust the size of the thread pool MSP uses to support parallel processing of multiple Relay Servers.  How long it will take depends a lot on how many Relay Servers there are, how many files are on a given Relay Server, how loaded the MSP Server is, etc.  In cases where there is only a single Relay Server, and when the number of devices managed is relatively low, it should take at most a minute or two for MSP to detect and reflect that a device has changed Relay Servers.  The higher the scale and the more distributed the system, the longer it will likely take.