A delayed choice setup is not too dissimilar than a Bell inequality violation experiment. The weirdness there is that you can set things up such that no signal can travel between the systems being measured, and yet the outcomes are more correlated than any classical joint state can be.
So the conclusion is that either locality fails (i.e. it’s not true that outcomes on one side are independent of how you measure the other side) or realism fails (i.e. you can’t assign values to properties before the measurement, or in other words a measurement doesn’t merely “reveal” a pre-existing value: the values pop into existence in a coordinated fashion). Both of these options are crazy, and yet at least one of them must be true.