You can buy actions out of the Black Market deck after getting hit by Deluded.
http://wiki.dominionstrategy.com/index.php/Deluded
It triggers at the start of buy phase.
So I think this is working correctly.
It's as Rabid said. The icon in the central information area is starting to blink when the Deluded is actively affecting you, vs. (normally, non-blinking) just to show that you will be affected the next time your buy phase starts.
To be sure, I checked a scenario where I first get deluded by playing Kobold, then start the buy phase (now actively deluded), buy Exorcist, use Charm to gain a Villa (get back to Action phase), play Villa and play Black Market.
Even though I had 3 coin by now, the game did not give me the option to buy Squire.