@misc I would agree with @StretchFredrik . I would advise you to beware of the following.
Suppose you have a data row limit of 500 in your app (this is the default. It can be raised to a max of 2000 - the default is 500).
(for reference, the Data Row Limit is under Settings -> General (scroll down) -> Data row limit)

Suppose you have a delegable Filter which returns more than 500 Records, say it is supposed to returns 725 Records. If you put this in the Items property of your Gallery, you should notice that when scrolling through the Gallery, it should show the 501st Record and beyond. However, if you use a single call to the Collect, ClearCollect, or Set, or UpdateContext function, you should notice that the number of Records in your collection would be 500 i.e. no greater than the data row limit of the app.
There should be no yellow triangle delegation warning because there is no delegation issue here, the issue is that those functions are subject to the data row limit, and there's no warning for using functions in a way that would cause there to be less records returned than expected due to there being more records present in the expected stuff to be returned than the current data row limit.
Just in case it helps, this is why I'd agree with @StretchFredrik - where possible, just use the Filter directly (especially when already using a Gallery, just use the Filter directly in the Items property of the Gallery where possible), without using any intermediate Collections (i.e. ClearCollect, Collect), context variables (UpdateContext), or variables (Set) - wherever it is possible for you to do so.
Let's suppose the example of using the Items property of a Gallery. To do more things with the returned data, just keep adding more functions to that same formula. For example, if you already have a delegable Filter in the Items property of a Gallery right now, just go ahead and surround that already working Filter function with another function (ideally, another delegable function) to do additional stuff with what you already have.