Yes it does. I think the problem lies in their servers. The first time I played WE: Blue Samurai online it was almost lag-free playing 4 games. Then a day or 2 later popped it in and fired up online, lag is back, but not as bad as PES. Then I thought to myself it must be the servers can't handle many people online at the same time. The night that was almost lag-free there were barely 50 people online, where as the day it was lagging, there were about 300 people online. They definitely need to sort that out. Go buy some monstrous servers or something.
By the way, I also think in addition to lag, whats making it worse online for PES 2010 is its sluggishness. Offline it feels sluggish, so when going online its going to feel twice as bad imo. WE: Blue Samurai is much more responsive and thats why I think online isn't that bad.