It's true sadly. (also latency is the correct word, not lag, which would mean overall slowdown of the game), but it depends on the TV.
Before we had a simple Panasonic TV, and surprisingly enough, it was perfect even for retro games the latency was not noticeable and there was no issues whatsoever, so I wondered why everyone was whining over LCD TVs to be horrible for old games.
Unfortunately my dad had the great idea to give this TV to someone else and buy a new one, Samsung brand, very high end model, which has a zillion of functions for doing super-awesome signal processing etc... And man, there is a huge latency on analog inputs. Even if I disable all the effects the latency is still here.
I heard from a friend (which works involves doing electronics for this kind of stuff) that it's because of de-interlacing algorithm, and it cannot be disabled.
Now this is fine for playing RPGs (although a little annoying in the menus), but for action games you can forget immediately.
Finally my guess (I'm not 100% sure) is that, ironically : The cheapest and low-end is your LCD TV, the better it is to play retro games. High end models are those that will try to "correct" the input signal, and create a very noticeable latency.