I've tried it and it appears to work pretty well for me. However, since you did not include your own exectuable I had to compile it myself with, I assume a different version of delphix, than you have. (Note that users without delphix problably wont test it at all)

In any case because I do not use undelphix, but the origional version of delphix, I had to change a couple things.
Beginscene and endscene are not know to my version and so are doDirectX7Mode, I removed them. Also, the draw function took an extra transparency parameter. After that it compiled without errors.

On my crappy pc (the one I use at work, radeon 7000), runs software mode at around 30 fps. Hardware mode does it a little better at ~400.

I did not see any odd things in your code, except mayby the part where you change the surface color. Since you're changing it at every frame it becomes very hard to see whats happening when using hardware mode.
It would be a typical thing to do timebased instead of framebased. But I doubt thats your problem anyway.

Hope that helps a bit.
In case you want to test the compiled exe, you can grab it here