I've also noticed, probably just like you, that after inserting a VST fx, latency suddenly became noticable while playing GS3 directly using a controller.
As far as I know, you can only lower VST latency in GS3 by lowering the overall latency of your audio card's driver in its respective configuration panel.
In GS3 I can set my RME HDSP9632 as low as 1.5 msec without any glitches. Kontakt couldn't keep up with this setting (had to use >6ms), so GS3 really takes this card to the edge. At 1.5 ms, VST latency also lowers to an acceptable level (~6ms from memory). Just find out how low you can go.