Setting the following happens immediately, but it could be that the neuron that is being followed has voted before the following relationship has been set in which case your neuron will not vote.
Additionally, when a neuron votes, all of its followers will vote within the same message if the correct conditions are met so it could be that the neuron being followed hasn’t voted yet, or the correct conditions have not been met yet. These conditions mostly relate to reaching quorum with who you follow. Here is an example: if you have Neuron (A) and it follows 3 different neurons (B) (C) (D), at least 51% quorum must be achieved before (A) casts its vote.
Sequence of events:
A proposal is submitted
Neuron (B) votes No. Neuron (A) does not vote. 33% No in (A)'s following
Neuron (C) votes Yes. Neuron (A) does not vote. 33% No and 33% Yes in (A)'s following.
One day goes by
Neuron (D) votes Yes. Neuron (A) casts its vote. 33% No and 66% Yes in (A)'s following.