Why is my Airplay lagging? When I use my airport express to play music, the media is still 3 or 4 seconds late but if I change the volume the result is instantly applied.

My Airport is connected throw WiFi to my router and so is my MBP.

Am I the only one facing this? Or is this a common issue? If so, how to explain that the volume settings are instantly applied whereas the music is always late?
This is a "feature" of AirPlay. There is a 2-3 second buffer that makes sure the audio playback is smooth. This only applies to starting/pausing playback, because the volume adjustment is done on the source device, before the audio is even sent to the AirPlay speaker. You will experience this on all devices that support AirPlay.