The point is to protect the delivery dude, not you. The guy comes in close contact with a hundred of people every day, it makes sense they want to protect them.
There is currently no evidence the virus is spread through food. If you were afraid of someone "touching and coughing on your food", then you couldn't shop in a grocery store which hundreds of other people visit every day.
Also, all people are forced to wear masks and clean their hands. High temperature kills bacteria and viruses, so food preparation and deliveries are not a problem with proper hygienic measures.
