The problem is that "regular" C callbacks do not carry any state information. All class member functions have an implicit "this" parameter which means they can't be called by a C callback. Using delegates gets round the problem as it creates a callback that captures the "this" parameter.
It allows you to callback to a specific object. If you had a Mega with 4 serial ports in use, a C callback couldn't differentiate between the four serial ports but a delegate could, as it will capture the "this" parameter identifying which serial port it's related to.
Iain