Honeywell CM907 Programmable Thermostat has long delay before starting the boiler

I have replaced a mechanical thermostat with a Programmable Honeywell CM907 to control a Vaillant TURBOmax Plus 828E Combi Boiler that runs off LPG.
The problem is that when the thermostat switched to fire up the boiler, the boiler does not fire up until about 5 minutes later.
This situation is actually listed in the troubleshooting guide for the thermostat as:
Symptom: Heating switches ON or OFF too slowly or quickly
Possible Cause: CM907 not set correctly for your system
Remedy: Call installer
I'm the installer and I'm stuck. Has anyone got any idea as how this thing should be set up to remove the delay in starting the boiler?
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