You do have to set the delay. But that's really easy. You just have to pop off the delay section, select the amount (in seconds) you want to take off from the standard, and drill. Then put it back on.
...unless of course you want the factory supplied delay, which is what I'm guessing is the point of this video, otherwise, it's a significant oversight to just skip that step entirely! Sure, it's not hard to do, but attention must be paid.
Keep in mind- if you buy the 29mm starter kit, you get the Pro38 delay adjustment tool with an adapter for 29mm delays. Makes going to 38mm super easy, since as was said earlier, 38s don't need a closure. I just bought the 54mm cert special from Apogee, and really like the 54 DAT- much more flexibility than the 38.