If the net transfer is zero, this does not mean that the system will respond to changes instantaneously. Consider a similar problem that is maybe a bit closer to everyday life.
Consider an empty pipe. At some point you start pouring a bit of water inside continuously. The water will of course flow out of the pipe on the other side. As you increase the amount of water poured inside, the continuity equation demands that also the amount of water that flows out on the other side increases by the same amount. The net amount of water you put into the pipe and that flows out of the pipe will be the same, so there is no net water transfer to the pipe. However, of course this obviously does not mean that the pipe is empty. The reason for this is given by transients. As you increase the amount of water flowing in, the amount of water flowing out does not change instantaneously. For a short amount of time - given by the time it takes for the water to cross the pipe - the amount of water entering the pipe will be larger than the amount of water leaving the pipe. There is not net transfer of water in equilibrium, but only in these transients, when you change the boundary conditions.
Although black bodies react quite quickly to changes in the amount of radiation they receive, their response is not instantaneous. In equilibrium, the net amount of energy coming in and energy going out will be the same, but for the few short instants it takes the system to get to equilibrium if you change the boundary conditions, there will be some energy transfer to or from the system.