Zach,
When you are setting up, remember that the delay settings for any given Channel (A, B, C or D) within your delay block will stay the same (or as you are saying, get overridden) when you change Scenes, but it gives you 4 different Channels to go at for any given block in a preset. So I will generally set up 2 or 3 different delay settings on Channels A and B, maybe C of my delay block. Then select Scene 1 and set it with no delay (block bypassed), Scene 2 with delay on channel A, Scene 3 with delay on channel B and so on. Conceptually it's important to note that changing Scenes allows you to control the bypass state of every block, which Channels blocks are set to on scene change, and anything controlled by per Scene controllers (generally just level for me, and that only occasionally), but not the individual channel settings within a block.
So you just go into each Scene, set all the channels and bypass states as you want them, hit save, then move on to the next Scene you are setting up. (You can actually go without all that much "saving", but you'll regret it if you accidentally switch Presets and lose all your good work). The last time you hit save, you need to be in the Scene (and of course bypass and channel states) that you want the Preset to revert to when first selected. At least I think you do, but because I never have a Preset that hasn't been saved at Scene 1, and I never use the "Scene revert" function, I don't have to think any further than that.
Hope that helps. It does become so intuitive that it's harder to explain than it is to do.
Liam