In closed-loop systems, sensor feedback delays may have disastrous implications for performance and stability. Flies have evolved multiple specializations to reduce this latency, but the fastest feedback during flight involves a delay that is still significant on the timescale of body dynamics. We explored the effect of sensor delay on flight stability and performance for yaw turns using a dynamically scaled robotic model of the fruitfly, Drosophila. The robot was equipped with a real-time feedback system that performed active turns in response to measured torque about the functional yaw axis. We performed system response experiments for a proportional controller in yaw velocity for a range of feedback delays, similar in dimensionless timescale to those experienced by a fly. The results show a fundamental trade-off between sensor delay and permissible feedback gain, and suggest that fast mechanosensory feedback in flies, and most probably in other insects, provide a source of active damping which compliments that contributed by passive effects. Presented in the context of these findings, a control architecture whereby a haltere-mediated inner-loop proportional controller provides damping for slower visually mediated feedback is consistent with tethered-flight measurements, free-flight observations and engineering design principles.