At current, the delta endpoint does not support the $expand option.
While the other options can be handled on the client side ($filter, $orderby, $select, $search) to some extent, there is no client side alternative to replace $expand for extensions. This is unfortunate since it means that custom metadata associated with the events is not retrievable in this way and requires either using a heavier call (not using delta) or multiple round-trips to retrieve and expand the metadata.
It would be great to support $expand for the delta endpoint even in a limited fashion for extensions since this would allow retrieval of custom metadata associated with the event.