Hi there,
I'm sure that if you fill in the "Delegate mail server" field, you are dropping the mail server role of the SME server and using another server to send and recieve mail. This will only allow you to use the other functions of the SME server.
From what you are saying, I think that you would have to specify a forwarding address for each user so that the mail first hits the SME server for spam and virus scans and then is forwarded to another server for retrieval. Not quite sure how the forwarding works but I assume that all mail that hits the SME server is scanned before being forwarded on but I could be wrong.
Hope this helps,
Arthur