To clarify some details:
You don’t have to delegate your domain here to use that feature, it just becomes possible to self serve on this feature if you do.
If you don’t, you’ll:
- delete the DNS Zone (which you are not currently using) here: Netlify App
- and you’ll follow this process to get branch subdomains created: [Support Guide] How to use Netlify’s branch deploy feature without Netlify DNS