I'm sorry to re-open the subject, but I've tested to set a delay of 0 with the new 2.0.9a version, and i Still have a little delay.
Let me explain :
I have a ImageButton, with a normal and pressed state. So when I press the button, it sets the pressed sprite.
I also have a UIButtonTween script attached to the ImageButton, that is triggered on OnPress and Play Direction : Toggle.
Finally, I have a child of the ImageButton, than is a label, with a TweenPosition script on it.
So when I PRESS the ImageButton, it triggers the TweenPosition (delay : 0) from the label.
But, when I press the ImageButton, I have the pressed sprite and then after a really small amount of time (maybe one or two frame ?) the label change its position.
Maybe it's REALLY fast, but I can definitely see it...