Currently, changing delay_key_write option for MyISAM table using ALTER TABLE statement copies all table rows to a temporary table during alteration. However, it is totally unnecessary. Changing this attribute should not copy rows.
One can just create a table with the same structure and this option set and then copy/rename .frm file, but why to rely on workaround when this can be implemented by server itself?
See https://bugs.mysql.com/bug.php?id=45492 upstream MySQL bug also.