unDelphiX is nice, but it's also quite old. I think it's meant for those who want to use a DelphiX interface while having DX9 running on the background. I wouldn't use unDelphiX to base my own engine on, because the codebase is big and it might be hard to fix any bugs you may encounter. Also, it still contains DX7 and DX8 support which you do not need and which only make the code more complex.

If you want to build an engine, you probably want to build the renderer from scratch using raw DirectX/OpenGL as it gives you the fastest and cleanest engine. However, I haven't used unDelphiX for a long time now, so I might be wrong here and there.