I suspect this behaviour is due to the calculation we do to simulate various bits of the pencil.
If you use a mouse and click and hold without moving when zoomed in you'll see nothing appear until you move away from the start point. When you've done that, the pencil line will trail slightly behind your pointer. But when you mouse up the line should catch up to the pointer as it calculates the final look of the pencil in that area.
If you're making natural strokes it's generally not tha visible but when zoomed in a long way it can appear like lag when it's actually just avoiding drawing until it knows how the stroke is formed.
If you turn on the Precise pencil option does that help it at all?