You use the DLM parameter when the data you want to read is a JCL. It is used a lot to catalog procedures for example.
It is used in order to tell where the data stops and where the executing JCL resumes.
For example, in:
the PROC, EXEC and DD cards are not executed, they are part of the SYSIN data.
The default value for DLM is /*, and you must use something else if there is (or if you suspect there might be) a /* within the data.