The word delicious, according to the OED, has a secondary meaning of intensely amusing or entertaining, which is obviously what the author intended with the phrase "delicious conundrum." A "pretty question" would be a close equivalent. Nothing inappropriate, so far as I can tell. whenever I''ve seen delicious usedthis way I've had the feeling that there was in implication of a certain amount of irony on the part of the author.

TEd