I have installed the Yamaha-Steinberg driver which is used with the Steinberg UR22 interface and the Yamaha N1X digital piano. With the same parameters (128 samples/buffer, 44,1kHz), the N1X latency is the double of the UR22. I note also that Windows manage to send sound to the N1X while Reaper send sound too on ASIO mode.
I suppose the N1X audio path pass through a software mixer, perhaps the Windows mixer, this could explain both observations. However it would be a curious ASIO behaviour. Usually, ASIO drivers bypass the mixer and use an exclusive mode to reduce the latency. Perhaps I should prefer the exclusive WASAPI mode of Reaper.