The delegation of Approvals and the delegation of Tasks/Issues are two separate steps that get configured independently. I would log-in as the user who is on PTO and verify that both settings have been configured and that the dates are correct/matching.
If that proves to be true, then check that your delegatee has the rights to be assigned tasks. If they are a reviewer/requestor license, then that will not work as expected as those license types cannot be assigned work. Why you can select them in the first place given that constraint is a mystery to me.
https://experienceleague.adobe.com/en/docs/workfront/using/manage-work/delegate-work/delegate-work-o...