I'm using a Roku Stick and the lag is definitely an issue. I need to do some research on if there's anything I can do about it. The only reason it really matters (to me, anyway) is being on social media or getting texts during live sports.
Yeah, the lag depends on the service and the device.
I've just learned to tweet during commercials.
FWIW, I've found it better to use the ESPN app vs watching ESPN on sling. And whenever I can watch over the air I do that vs stream.