With the Driving Force wheel I get some lag, enough to be noticeable but not so that it interfers much. With the Guillemot (Thrustmaster) Ferrari FF wheel though, I got more lag and felt it was enough to be distracting. The wheel is recognized by the code used by the game to interface, but not by the rest of the game engine.
The reason for the lag with the non-officially supported wheels is probably that the game does not disengage its damping feature. With the regular controller, the wheel applies some averaging and delay to the steering to make it respond less erratically and more convincingly. If it responded too quickly, the steering would feel twitchy when using the thumbsticks.
In a force feedback wheel, it's that which should take care of adding this feeling. The damping should be turned off altogether by the game. It seems it is not with wheels not recognized by the game as the GT Force, such as the Guillemot one.
Wheels connecting to the regular controller ports will make the games think they're either a DualShock or neGcon and the games will behave accordingly unless they are designed specifically to support them. GT3 adds the same amount of damping to those wheels as it does with the thumbsticks on the DualShock2, and it is way too much for a wheel.
Speaking of which, if you load up the license test demos in the replay theater and turn the wheel indicator on, you will find out from its movement that - at least in the PAL version - the drivers were using regular DualShock2's and steering with the D-pad!
