As in the mage balls have to touch you then explode and the turret damage feels delayed.
Of course
The minimap pings and ctrl for different stuff is really nice.
Projectiles have a travel time and aren't treated as hitting until they make contact, yes. This includes some projectiles from on-click abilities (Sion, Nunu, and Taric's Qs) that would normally be unavoidable once used. There are some champions who have abilities that can make them briefly untargetable - Zed's R during the instant of activation, Vlad's W for the entire duration, Fizz's E while he remains on the pole, Elise's spider-form E while she's in the air - as well as one item active that can grant the same benefit (Zhonya's Hourglass, an AP/Armor item) at the cost of rooting you in place for a few seconds. The way these abilities interact with turret shots is a little less cut and dry - Fizz pole can "dodge" a shot if timed right and Zhonya's can as well, but if I remember right Vlad's pool won't prevent a shot in-flight from doing damage - but they can at the least be used to reset turret aggro so that it prioritizes a minion or other champion for the next shot.
The ability to use (and abuse) this invulnerability is a pretty vital part of the next-level plays for all of these champions, and one of the major reasons Zhonya's is such a prized item even when the stats are sub-optimal in a match up.