I've hinted before that you need to tell us what kind of shield you are using. No more hints. What kind of XBee shield are you using?
It has yet to be established where the apparent delay is coming from.
Is it that the Mega is taking a while to get data from the device?
Is it that the Mega is taking time to get the data to the XBee (unlikely)?
Is it that the XBees are taking time to communicate with each other? What kind of XBees are they? How are they configured?
Is it that the XBee is taking time to get the data to the Uno (unlikely)?
Is it that Processing is taking time to display the data?