I assumed not also. It's in play, as far as I'm concerned.
We played the same way : as the delivery card is placed face up near to your board, it is in-game and no more in your hand and so does not count toward your hand limit.
Furthermore, on page 22, into subsection Draw card, you can read (emphasis mine) :
You may not discard power cards before drawing, or at any time unless they are used for an action, mission, delivery, combat, or diplomacy
So, an active delivery card is no more part of your hand.
Beside that, an active delivery card could never go back to your hand : either you complete it or you replace it with another one, as stated page 24 into Pick Up subsection.