No, there shouldn't be a delay. Here are some ideas:
1) If your case doesn't have enough exhaust, hot air will build up inside and the CPU cooler won't be able to cool the CPU as well. To test this, just try running the system with the side panel off.
2) If you're using an Intel CPU with the 4-pin CPU cooler attachment scheme, it's very easy to not-quite-completely seat the cooler. See here for detailed instructions (and note both that you need to install the cooler while the MB is *outside* the case and that you will have to clean off the old thermal compound from both CPU and cooler and apply fresh compound before re-seating the cooler):
http://www.tomshardware.com/forum/194385-31-part-assembly#t1184072
3) Too much thermal compound is also a problem. Follow the thermal compound maker's instructions, but normally a small line with about 2-3 grains of rice amount of compound is plenty.