You are correct about the delay. All it does is cause a fixed delay to occur. It is normally used between two IR commands to allow the equipment being controlled to complete the first command if necessary. On the iPronto you can not control the off time of the final IR burst so the dealy is important for certain applications.
The problem you are referring to is quite different. The question is what does the original IR remote issue when you hold down its button pressed for 5 seconds? IF it issues a burst of IR (the command) and then waits while you hold it down emitting nothing, then the delay should work (as Kees states). However I suspect that is not what it is doing. It might issue one IR command and then if held done for 5 sconds issue another different command. What you need to find out is what is it doing. If you can find a ccf on Remotecentral in the files section for your specific device, then you should be able to figure it out or at least copy what they have done.
The other point about long macros, the customer has to keep the iPronto pointing at the IR receiver while all of this is going on. I believe Xantech makes a device that issues IR macro sequences when a single IR command is received; different sequences for different commands.
In my system, a PC issues all macro sequences when hit by a single IR command, hence no keeping the iPronto "pointed"