The wood frame probably either rotted or was burned. Delphi was closed by one of the Roman emperors, and had been business for centuries prior to that, so the wonderful gifts gradually became junk while setting around the temple.
http://www.pbs.org/empires/thegreeks/keyevents/1400_c.html
http://news.nationalgeographic.com/news/2001/08/0814_delphioracle.html
Every museum has tons of stuff, donated by well-intentioned and sometimes wealthy donors looking for a ‘bennie’, sitting around in their storage basements.
Sometimes they get rid of the stuff through ‘deaccession’ which is a euphemism for ‘dump it.’
The Romans regularly stole whatever art they could, whether in statuary or smaller pieces, from conquered lands, not excluding their temples.
Sorry you didn’t appear to get my “fruitcake humor”