In Laz/main the error message is "Component name 'delete' is a Pascal keyword." I agree that this is not listed in the keywords list, it seems to be that the same restriction holds for other procedure/function names of the system unit ("inc", "include", "insert", "copy", "read", "write", "continue",...), but not for all ("assign", "reset", "halt", "blockread", "seek", ...). Maybe there is a bug, at least in the creation of the error message.
But it is not a good idea to name an action "Delete" anyway. What if you have a "Delete" button and want to name it "Delete" as well? It's just too ambiguous. Add a prefix (or suffix) to the name, and everything will be okay: "acDelete" or "DeleteAction", "btnDelete" or "DeleteButton".