According to official documentation about Steam Overlay that you can find here https://partner.steamgames.com/doc/features/overlay DirectX 7 is supported. The documentation also states that you need to initialize Steam API before your game render surface is created in order for the API to successfully hook the rendering device creation.
Another cause for your problem might be the fact that UnDelphiX might be actually running in software mode with which Steam Overlay is not compatible.