It's actually true, Move's lag is a little higher than that of the Wiimote, for example because the data from the Wiimote is pretty much instantly usable, while Move needs some little image processing to locate the glowing ball in the image the PS Eye sees.

But the difference is rather small, the difference between Move and Kinect is much bigger.

Wiimote >>> PS Move >>>>>>>>>>>>>>>>>>>>>>>> Kinect

Do not forget about the all important TV input lag. Everything lags at least 47ms on my tv, which is 3 frames at 60FPS, and it is very noticeable. I "hate" the people that say that they do not notice any lag in Sports Champions or the demos of any shooting game. I have to lead my target by quite a lot to compensate in The Shoot for example. 

On Joystiq they had an article about playing Killzone 3 with the Move. The article states, "For one, when you aim using the Move controller, the on-screen gun doesn't follow immediately -- just the crosshairs, which turn red over enemies and yellow when you're pointing at foes that are behind cover."

See the 4th paragraph: http://www.joystiq.com/2010/12/18/killzone-3-playstation-move-preview/

Id assume it would have a bit more lag since its not a 'direct' pointer

I posted about some lag found in my Move impressions, one of the posters gave me some stats where it's essentially the time it takes the camera and move controller working together that creates the lag as not every game uses both at the same time even in games like Sports Champions, when you need to be in front of the camera at all times it tells you.

But apparently with those games there will be more lag than with a Wii remote, and yes in that video there was lag much more than say Black Ops or GoldenEye on Wii.