What is the upside in asking someone who is delusional, about his being delusional. Seems like any answer you might get would be suspect.
The upside comes from the fact that people are watching the questioning and listening to the answers, and are drawing conclusions as to whether he or not he is delusional.
Also, it lets the audience know that there are critics who think he's delusional.
I suspect the answer is irrelevant. He just wanted to get the point out, me thinks.