Delegates can be very usefull to manage your agenda, but you have to be very carefull. Too many delegates, or improper use by delegates can result in missing appointments!
Many delegates can (will) create conflicts in agenda's. It is recommended to use the smallest number of delegates that is possible in a typical usage. Normally I would recommend no more than 4 delegates per mailbox.
When using delegated in Outlook 2007, make sure that all users use the same version of Outlook. If this isn't possible, for example during an upgrade of Office, make sure that such an overlap is as short as possible (check http://support.microsoft.com/kb/924470 for more information).
Also, make sure that multiple user never modify the same item at the same time. This will also result in meeting conflicts, and depending on the time of change the modified item may seem to disappear from the calender (which will result in a management escalation.
As a best practice it is best that the original meeting organizer makes all changes to a meeting. That is to say, if the manager is making changes to a meeting that the delegate originally created, you can expect inconsistent behavior. The preferred process would be for the manager to ask the delegate to update and add the third user. At that point the delegate should update the original meeting, which should reduce the inconsistencies.