The word "Delegation" simply means entrusting someone something while still in total control of that something.
When you delegate Steem Power, the delegatee is treated as a proxy for the delegator by the blockchain. He gets most of the benefits that comes along with it(increase upvote worth and bandwidth). However, the delegator remains the OWNER and holds TOTAL control of that delegated SP and thus it makes sense that the interests are only for him, the owner, not the proxy.
It's worth to note though that the Delegated Steem Power still increases over time. If you delegated 1000SP, that will slowly increase depending on the interest rate of the OWNER of the SP. After a month, you might see that it's now at 1002SP. The increase 2SP still and will always be ownes by the delegator though.