XNA is a layer above DirectX, it's a higher level API (higher than D3DX). So DirectX will stay. I'm not even sure will XNA be available as a .NET assembly. But if it will - then no problem using it with Delphi.NET.

As for managed DirectX itselft - it's too early to base DirectX projects on it. Currenty native DirectX has more API features... Even MS currently recommends using .NET in games only as a script engine.