Delta is storing the data as parquet, just has an additional layer over it with advanced features, providing history of events, (transaction log) and more flexibility on changing the content like, update, delete and merge capabilities. This link delta explains quite good how the files organized.
One drawback that it can get very fragmented on lots of updates, which could be harmful for performance. AS the AZ Data Lake Store Gen2 is anyway not optimized for large IO this is not really a big problem. Some optimization on the parquet format though will not be very effective this way.
I would use delta, just for the advanced features. It is very handy if there is a scenario where the data is updating over time, not just appending. Specially nice feature that you can read the delta tables as of a given point in time they existed.
SQL as of syntax
This is useful for having consistent training sets (to always have the same training dataset without separating to individual parquet files). In case for the ML models handling delta format as input may could be problematic, as likely only few frameworks will be able to read it in directly, so you will need to convert it during some pre-processing step.