Cloud icons when choosing next song

Hi all. I've got a Mini and 5 MYO cards I'm giving to my 3 year old on Christmas.

I've set it up, made playlists and linked the cards.

Today I was testing out the last 2 cards I've made and when I skipped to the next song there was a noticeable delay with the cloud icon appearing before playing.

Can someone explain how it's all supposed to work? Surely there should be no lag? I've seen posts discussing "downloading overnight"... I thought it was just about linking the cards??

Someone please enlighten me.