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With the camellias and rhododendrons, it could be seed pods or it could be buds forming for next year. They likely will not bloom again this year.

As for the delphiniums, it is not surprising that this happened. When you cut them down, you dead headed them. A plant's main goal in life is to produce seeds. When you cut them down, the plant forced itself to bloom again to try to make more seeds. This article may be of interest to you:
https://www.gardeningknowhow.com/ornamental/flowers/fgen/deadheading-flowers.htm

These plants are not spring bloomers. They bloom in early summer and often again in late summer or early fall.

Delphiniums germinate from 5 days to 5 weeks. The best soil temperature for germination is 60-68*F. The common failures in germinating delphinium's seed are these. 1) Keeping the soil too wet. 2) Sowing the seed too deeply. Seeds should only be covered with approximately 1/8" of soil. 3) Trying to germinate old seed. Delphinium seed loses its vitality after one year. 4) Freeze the seed in the freezer for two days prior to seeding.

In ''the industry'' delphinium refers to the perennial, Delphinium elatum. This plant should remain the same color for it's life span. If delphinium are pollinated, and the seed germinate, growing to bloom, eventually, yes, you will have plants of the same color. If you cut the spent bloom spikes off before seed ripen and/or fall, your plant will not change color. Larkspur, Delphinium ajacis, is a biennial, meaning that you sow seed year one. The plants bloom year two, are pollinated, form and drop seed. That plant dies, the seed germinate and bloom year three. You generally let the seed drop for the next years flowers. Unless those plants are segregated, you will end up with the same color. (Hope this didn't confuse you too much.)

You can remove old growth in fall after frost or before new growth begins in spring. This is entirely up to you.

This could be caused by watering issues, to much or to little.
If the plants are to dry they may be dying down prematurely. If the ground is wet and excessive damp conditions it can cause root rot.
I would trim away the dead material and treat the plants with Neem Oil. This acts as both an insecticide and fungicide. Stressed plants can invite both.
Here are a few article for you.

https://www.gardeningknowhow.com/ornamental/flowers/delphinium/delphinium-winter-care.htm
https://www.gardeningknowhow.com/ornamental/flowers/delphinium/growing-delphinium-plants.htm
https://www.gardeningknowhow.com/plant-problems/pests/pesticides/neem-oil-uses.htm