Few ms is for the round trip from the exchange which is right in line with what exchanges tend to provide. I have it on good authority that Brian knows what he talks about in that regard...
Parsing is definitely not a few ms. Maybe using Apache and parsing an XML message with a bad XML library it is a few ms... grabbing a message off a Solar Flare card with some good code is a few micros. if you are in hardware on your NIC you can be even faster.
Time from message sent to seeing back on marketdata feed can be a few ms, or it can be faster. Depends on exchange and traffic. Few ms didn't use to be totally uncommon on CME, but it may be closer to 1ms in the 95th percentile these days, for sure.
