I have noticed there is considerable latency when using an expression pedal. I tested it out with a wah pedal, and was pretty disappointed.
I used the Axe FX 2 for a while with an FCB1010 through MIDI, and its expression pedals had too much latency for me. When using the pedal jack with a 1/4" out expression pedal, it works great with virtually no latency on the Axe 2. I was hoping for the same, but sadly I think I will be returning my Quad Cortex. It was so close to being great.