1 million Task.Delays means 1 million queued waits in the sleep machinery, which could run into some bad scaling and overhead. But then 1 million tasks waiting on a single awaitable probably hits overhead in other subsystems. My guess would be that 1 million waits is much cheaper than 1 million sleeps, because sleeps have to be sorted by due time while the list of tasks waiting for completion just needs to be sequential. Entries in the sleep queue are also going to be bigger (at minimum, 4-8 bytes for due time + 4-8 bytes per completion callback) while entries in a completion queue would just be 4-8 bytes for the completion callback.
Task.WhenAll also has potentially worse behavior than the other apps if you care about memory, since it will need to allocate a big array of 1 million Tasks in order to pass it in. Many of the other programs instead loop over the tasks, which eliminates that overhead.