The delay is only apparent for very long playlists. My computer is pretty slow (P3 850), so a 900 song playlist is sufficient to create a 5 sec. delay on my comp. The longer the playlist, the longer the delay (I messed around w/ different sized playlists).
Maybe the delay is there, but you just don't realize that it's a delay. If you uninstall 5.03, install 5.01, open up a 4,000 song or so playlist, and double click one of the songs, you'll notice that it plays instantaneously. Then uninstall 5.01 and go back to 5.03 with the same playlist, and you'll notice the delay.
Another thing I noticed: if you're playing one song already, then double click another song from the media library, the display (e.g. spectrum analyzer, song time, scrolling song name, etc.) all freeze during the delay until the next song starts. This is with the default winamp skin.