Hi - two things: 1) if you are just displaying a field with no formulas or anything, you can use valuefield, and 2) delegateUser is an object so you need a field to go with that.
I don't have a task with a delegate approver so can't test this, but I believe you want
displayname=Delegate Approver
listdelimiter=<br>
listmethod=nested(approverStatuses).lists
textmode=true
type=iterate
valuefield=delegateUser:name
valueformat=HTML
Hope that helps.