Office 365 - Setting Delegate access on Calendar

[snagrat]

I have a user setup to act as a shared calendar. I also have mail-enabled security groups setup via Powershell.

 

I can share the calendar with the security group except if I set the Delegate permissions. Full and Editor work but Delegate comes back say I am not allow to do it.

 

I can set Delegate access to an individual user, but not the security group.

 

Is this by design? Has anyone got mail-enabled security group setup they can try?