Yeah, if you're having lag issues with rhythm games, check your sound first. Many TVs add stupid amounts of audio lag for no goddamn reason.
All my consoles are connected directly via HDMI to my home theater system which is then connected to my TV by HDMI passthrough. It is absolutely lag-free. One day I tried connecting my PS3 directly to the TV without my home theater in order to test my video capture device, to see if it didn't add any lag. I booted up Project Diva F and tried playing it a bit, and the end result was completely unplayable. Turns out the sound on my TV is super super insanely lagged, I had never tried it because I never actually use the sound on my TV.
Instead of relying on software lag compensation in rhythm games, try fixing the actual source of the lag instead. If your current audio setup lags, you can try some analog PC speakers, as analog is always guaranteed to be lag-free.
When playing rhythm games, audio lag is much worse than video lag, because your brain can compensate for video lag, whereas audio lag is what you should be relying on for timing.