I have read that they have less latency when used wireless than wired (kinda weird). However that is just the connection from the controller to the PC/dongle. I have read more than a few times people talking about the actual encoding of the inputs to xinput (What DS4Windows does) can add 40+ ms of extra latency..
Example: Eurogamer did a test on input latency and they found that "Input Mapper's process of taking the Dual Shock 4 inputs and translating them into standard PC Xinput adds a considerable amount of latency". They noted that "initial results were deeply unimpressive, with the PC actually lagging behind PlayStation 4 by a remarkable 41ms (five frames on our 120fps captures)," but by switching to a wired Xbox controller they removed any additional latency and brought it in line with the PS4 version.