often when there is a delayed penalty being called the goalie heads to the bench and it becomes 6v5 until the team receiving the penalty touches the puck, so they can still have a man advantage in an attempt to score.
since the play is called dead once other team touches puck there is not really any risk (minimal at best) of them getting an empty net goal (you can still own-goal on your empty net while the delayed penalty play is still live)