Gravity is one of the least undrestood forces, and yes it would take time to reach us. If the sun were to suddenly vanish it would take time for the wave to ripple out to us as well as for the light to reach us to show us that the sun had vanished.
Lets say you hada sheet pulled held flat and pulled tight. If you put a big ball in the midle of it, it would make a curve in the sheet depending ont he weight of the ball. Now we take a marble, we would make that marble spin around this bend in the sheet much like we would have a marble fly around in a roulette wheel. That marble would have to move fast enough so that a0 it does not fall down toward the ball in the center (thus being sucked in by gravity) and b0 slow enough so that it doesnt fly off the blaket (so the forces are balanced and it stays spinning in a circle) Now if you were to pick up that ball in the center it would take time for the sheet to rise and for that ripple to extend out to where the force that keeps the ball spinning is no longer balanced, and the one that wants it to fly away is greater and it would fly away.
Gravity is a tough one. As far as i know, people are still trying to figure out exactly what that force is and how it behaves. Especially when it comes to interacting with other dimensions.
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