It is important to bear in mind that the distance between a neuron's axon terminal and its soma can be extensive, up to about 1m in the human body. The fastest transport along the axon is 400mm/day (For this purpose I suppose Source: Wikipedia).
Of course the axon terminals also need to be supplied with a steady stream of proteins to maintain normal turnover, for example the terminal may need enzymes which metabolise the neurotransmitter, membrane proteins for signalling, vesicle coating and membrane fusion proteins etc.
However, sudden changes are possible in the level available of a certain protein. An example could be sudden depletion of SNAREs (required for vesicle fusion in neurotransmitter exocytosis) caused by botulinum toxin.
My question is, does the terminal somehow report back to the soma in any way if a certain protein needs to be made available more or less? And if so, how? Especially considering that retrograde transport, according to Wikipedia, gets up to 200mm/day only. If that was the mechanism for feedback, it would create a large discrepancy between signals received at the soma and the terminal's actual state.
Answer
We can consider the classical example of Long Term Potentiation.
CREB is a transcription factor which is activated during LTP by phosphorylation.
Your reasoning about the delay between signal and transcriptional response is correct and thats why neurons have local translation factories near the dendritic spines and gene regulation (fast responses) is mostly post-transcriptional. (there is no article which says exactly so but you can refer so some articles which report that miRNA-repressed genes are reactivated upon certain signals. They hint that post translational regulation is very important in neurons)
http://www.cell.com/neuron/abstract/S0896-6273%2809%2900939-8
http://nar.oxfordjournals.org/content/40/11/5088
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