Arbitrage is generally not really possible due to "delays". Even when Gox had a "huge difference" people didn't make money from that.
Delays are irrelevant. You keep fiat on the exchange with the lower price and coins in the higher exchange. When the price difference is sufficient, you perform the buy and sell trades at the same time. Afterwards you deposit and withdraw where needed to settle the balances. If you're waiting for coins to transfer before making the second leg of an arbitrage trade, then you're doing it wrong.
Anyway, if the price on btc-e is consistently lower, then apparently depositing fiat is slow, unreliable or expensive.