As you see in the picture above, a user can delegate task for the whole site collection in one step as well as for the current site. You can turn of the task delegation in the SharePoint Central Administration (Central Administration - Web Application - Nintex Workflow 2007 - Global settings). At the same section, you can turn on the administrative task delegation.
If you turn on the administrativ delegation, site administrators can delegate tasks for other users, wich will be necessary for many scenarios. By default, this setting is turned off.
If now the following question comes up: "Hey, can I build endless loops with task delegation?". No! You can't build delegations like "user A" to "user B" and back to "user A". Ok, users CAN build this, but it don't works endless. Nintex delegate a task only one time automatically.