Everything Delenn did in the first season and a half had an official political explanation and a real secret explanation.
As for her change:
Official explanation: symbolic bridging of cultures between humans and Minbari. Note that when she first appeared in her altered form in front of the council, she said it was with the "blessings" of her "government." However, in her final meeting with the Grey Council, they were apprehensive about the whole thing- "prophecy will attend to itself." Of course she couldn't talk about the real reason for the change:
Real explanation: fulfilling Valen's prophecy under the direction of the Vorlons. At the time, she didn't know herself exactly how her change would bridge the "two halfs of their souls" to fight the Shadows. She did it on faith.