Researchers have found that late frosts do effect Delphinium barbeyi/larkspur blossoms.  (Larkspur is in the same family.) Early frosts do not effect the blossoms. It is hypothesized that the buds are still small enough to be protected by the leaves.  

Just to rule out insect or disease, I would open some of the buds and look for insects.  Also consider herbicide drift possibilities.  However, this is unlikely if the leaves are okay.

As you know, most pests/diseases of delphinium manifest on the leaves and stems first.  There is a good summary at the first website.  The second website is a technical review article which summarizes research that may be of interest even though they studied larkspur, a close relative in the same family.

I agree with your assessment that future buds/flowers should be okay confirming the late frost diagnosis.