I do not know how the ReWire protocol works exactly so this might be a stupid idea 
but one thought that popped into my mind was that when you press play in the master, then Renoise immediately sends a stop command back to the master, starts playing till the latency is compensated and then send a start command back to the master.
Besides that I probably think PDC off by default when in ReWire-slave mode, and then, as Pysj said, if enabled a pop up that explains the problem. Or nr 2 with possibilities to turn it off and go back to the missed note behavior.
Btw. I really love this ReWire support, it makes it possible for me to work on my vocal and guitar tracks in another host without the need to first render the whole song to wav. Good work!