The Wii Remote IR can sample at 200Hz, which is significantly faster than your TV refresh rate. That said, all manner of things create lag. If you've got an upscaler, that'll worsen it. If you're playing a game where the developer decided that a smooth cursor was better than a quick one, then you'll see it.
Zelda is by far the worst offender, closely followed by RE:Umbrella Chronicles, both with a lag significantly worse than the Wii Menu's (mild) lag. Mario Galaxy's lag is nigh-on non-existent and I'm sure that even your PC trained eyes wouldn't notice it on a CRT. Trauma Center is better yet.
I'm the kind of guy who sometimes sits there just testing the lag for fun, and whilst you're absolutely right that there is often lag, there's no inherent hardware-related reason for it, just design (and perhaps the abilities and priorities of the coders).