I've never handled a Merlin.
My favorite Delica is the old all-plastic clip style, which works well clipped to sweats or other thick cloth, but may come out of thin dress material.
The Pro-Grip, with its rubber backing under the plastic clip, will stay secure in the thinnest material, but may be too "grippy" and thus slow, in the thicker stuff. The Pro-Grip is also made of thicker steel than the Delica, and it is VERY robust; undoubtedly one of the most robust pocketknives made. The rubber patch on the handle will aid in grip in any slick situations, too.
The Delica should be fine for any reasonable small knife task, though. Stay away from the "1998" models, which do not have a very well designed clip attachment to the FRN. The newest metal clip models have a raised "fence" around the clip square indentation for superior attachment which prevents swiveling (and damage to your FRN).
As for the last difference, blade shape: do you like thin and pointy (Delica), for fine work, or thick and strong (Pro-Grip), in case you are tempted to do some light prying? Also, the Delica is more of a drop point style, while the Pro-Grip gives you a "mini Wegner" skinning type blade shape.
And yes, a new plain edge blue Delica may be better for "sheeple-infested" environments.
Karl