I'm not absolutely sure, but you might try disabling the Catch Up function. Or, you might try putting the pedal in the position that you want to start in, then save the preset. This may help with the lag that you experience the first time you use the pedal. I've noticed that my expression pedal doesn't start working until I've moved it to the position where the preset was stored (I have Catch Up enabled).
I believe that if a preset was stored when the parameter (that the pedal is controlling) is on a value of 5 for example, then the pedal won't start working until it reaches that position.
BTW, I'm using the Boss FV500L expression pedal.