Heh, that's just one of those things where its good enough to know that it works. Actually, balanced <-> unbalanced connections usually work, its basically the same as a typical balanced connection, but I believe some gear (like the delta) has the ability to sense and compensate for balancing.
The line levels for balanced and unbalanced are a little different. The Delta Mixer allows you to select which you want; this adjusts the line in levels accordingly. The jacks are TRS for balanced 1/4" TRS plugs, but if you plug in a regular 1/4" unbalanced plug the signal still comes through.
Less important than you think. As long as you stick to shorter cable runs it is likely that there will be weaker links in your signal chain than any unbalanced connections.