On most devices (for example iOS), BLE MIDI seems to be very reliable and convenient. It also means that you don't need to have an adapter. There will be slightly more latency (see below) with BLE MIDI but in most cases it's minimal. USB MIDI can be used for the absolute lowest possible latency.
Note: In general it is best to avoid connecting by both BLE and USB to the same host device simultaneously. That can cause confusion and connection difficulties.
There is a longer discussion of this in the User Manual, but BLE MIDI typically adds an average delay of 4-8 ms . That is the amount of time it takes sound to travel 4-8 feet, so standing just 8 feet away from the sound source adds as much delay as the average BLE latency! Therefore, if you are experiencing more latency than you would like, try staying close to your host device and speakers, or try using different speakers/headphones or use the built-in speaker on your device (some speakers and headphones with a lot of electronics will themselves add latency).
Being connected to the Configuration Tool may add a small amount of delay because the WARBL needs to send extra data, so click "Disconnect" if you no longer need to be connected. Sending a large amount of MIDI data (pitchbend, MIDI CC messages, etc.) can add some latency, so you can try to keep extraneous MIDI data to a minimum.
If the tone hole sensors aren't properly calibrated, they can also add a "feeling" of latency because you may need to press on them to make them register as being covered.
If you're experiencing a large amount of latency, it's likely the result of audio latency associated with your host device, rather than BLE. A few things to check are:
The User Manual has information about pairing the WARBL2 with various devices. Often "Forgetting" the WARBL2 and pairing again will fix connection issues. If you have connected the WARBL2 to multiple devices in the past, make sure that the WARBL2 isn't connected to a different device. This will prevent it from connecting to another one.
Note that on Windows, a BLE device will be shown as "unconnected" until you actually open a MIDI app. Also, a MIDI device can only connect to one app at a time on Windows, so you need to close one completely before trying to connect to another (so WARBL can't connect to the Configuration Tool and another MIDI app at the same time). Also on Windows, if you are using the Korg BLE MIDI Driver on Windows and the WARBL2 won't connect or connects only very briefly, there may be a rare issue where there have been too many USB MIDI devices connected in the past. You can follow the instructions here to fix this (see where it says "Follow these exact instructions to resolve this issue").
The WARBL should work with any device that can recognize MIDI controllers. However, some devices may have more latency or take additional time to set up than others, and the reason I suggest iOS (Apple) devices for use with WARBL is that they work consistently well, while Android compatability is difficult to predict. I can accept returns if you buy a WARBL and it doesn't end up working well with your Android device. Android phones and tablets usually require a USB On-The-Go (OTG) adapter, micro USB to USB-C cable, or USB hub to connect to WARBL. For a variety of sounds on Android, Windows, or Mac, you can try using an app that plays SoundFont files, like Bismark BS-16i MIDI app or FluidSynth, for Android, or Sforzando for Windows or Mac. You can then use those to play the WARBL SoundFont file that I made, which contains tin whistle, uilleann pipes, flute, highland bagpipes, and Scottish smallpipes sounds. There is a description and download link here.
There is also a new web-based version of the Celtic Sounds app, which is a great way to have MIDI sounds on any platform. It allows loading of many different types of instrument sounds in addition to the stock Celtic instruments. Just navigate to this page in a browser like Chrome that supports WEB MIDI. This video describes how to use it. For much more information, see the WARBL WebMIDI Sound Modules group on Facebook.
WARBL sends MIDI messages on Channel 1 by default, so your MIDI app should be set up to respond to messages on that channel. Many connection problems with MIDI apps can be solved by forcing the app to close (on iOS, double-click the home button and swipe the app upward), unplugging/replugging WARBL, or a combination of those two things. Note: If you have been sending CC messages from WARBL to control the volume of the app with the pressure sensor, after every breath, the volume of the app may be turned down to zero. It is easy to forget about this after changing settings, so if your app isn't making sound, check to make sure the volume control in the app itself isn't turned all the way down.
To set up Celtic Sounds MIDI Module, see this video. Also see the question above about using drones and regulators. There is also a new web-based version of Celtic Sounds here. This video describes how to use it. For much more information and many custom instrument sound files, see the WARBL WebMIDI Sound Modules group on Facebook.
To set up the EPipes iOS app, see this PDF.
To set up the FluidSynth app on Android, this video.
To set up the SForzando app on Windows or Mac, this video.
Although the Configuration Tool is primarily web based, it generally works offline after the first visit. If you are using the WARBL iOS app, internet should only be required to install the app and then receive new automatic updates to the Configuration Tool (which happens about once a year on average, when there is an update to the WARBL firmware).
On desktop computers, the Configuration Tool is a Progresive Web App, meaning that your browser (Chrome, etc.) should download all the necessary files the first time you visit the site. After that, it should continue to work offline. For even greater confidence, you can click the "install" link in the navigation bar of your browser, which will install the page as a standalone app on your machine.