Though a command could do the work, that would be the Proxy's responsibility in PureMVC.
In Cairngorm you don't have a long-lived class like the Proxy controlling access to each piece of data. You have a static model (ModelLocator) onto which you hang values like decorating a Christmas tree. So, it makes sense to use Commands to do this work in Cairngorm. Something has to decorate the tree so the command sets itself up as a responder via the delegate and handles the result, usually by tacking it onto the ModelLocator.
But in PureMVC, the model (Model) caches Proxy objects, each of which can be as long-lived and intelligent as necessary, to control access to its data object. So in PureMVC, it makes more sense to have a Proxy handle service interaction related to its data object. And actually, it can do this without requiring a Delegate.
If a given Proxy is the only class that will invoke or respond to a given service call there is no need for a Delegate. Only if multiple Proxies will access a given service do you need to add the extra complexity of the Delegate.