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4Help strongly recommends sharing specific email or calendar folders instead of delegating access to your entire Exchange Online account. The terms sharing and delegating are often used interchangeably, but they reflect two different access levels.
Delegating access gives the delegate permission to view calendar, contact, and email items in your account and allows the delegate to send email and schedule meetings in the name of the owner by default. If you delegate access to another user, they will be able to see every email and calendar invite that is received by and sent from your account, among other things. This is not ideal because confidential and / or secure information (password reset requests, payroll information, travel plans, communications assumed to be private) could be seen. Microsoft's Allow someone else to manage your mail and calendar documentation page gives more detail of the extensive permissions given to delegates. For this reason, 4Help recommends sharing specific folders within your email, calendar, or contacts with specific person(s) or storing key business emails and departmental resources which are designed to be accessed by multiple users in an Exchange Online shared mailbox (PACE) or Google Group.
By sharing you can specify and control which parts and which types of items can be viewed. More importantly, when you share a folder, you can limit or completely block each person's ability to create, edit, modify, or send items in your name. To use either method of providing access to another user, please see the Providing Access to an Exchange Online Calendar or Folder in Outlook for Windows Knowledge Base Article
For an explanation of the different permission levels and settings available when sharing an item in Outlook, see Microsoft's Options for sharing and delegating folders in Outlook and Share or delegate a calendar in Outlook documentation pages.