Caterpillars, especially when tiny, have a habit of hiding away inside the leaves which often are made to curl up around them. Try using a hand lens. Are you SURE this is only caterpillar damage as slugs and snails are particularly fond of both, especially delphiniums.
However, with both lungwort (pulmonaria) and delphiniums, they are perennial so even if they lost all their foliage at this time of year, they will still come back from the roots next spring. They have had plenty of time to put on growth and new 'energy' into their roots by mid September. So concentrate your efforts into protecting them then, especially from slugs.

Thanks for your answer Bertiefox. I think I have controlled the slug problem (Going out picking them every night and some pellets - not very organic I know but needs must!) I have seen the caterpillars on the Delphiniums and picked them up on several occasions - as you say at times curled up in the new leaves. The holes in the leaves are small and in the middle of the leaves not starting from the edges (which is what I think happens with slugs). I am not 100% sure about the pulmonaria - it may be slugs or snails but today I've seen brown ball-shaped tiny droppings on some of the leaves which I think come from caterpillars.

Thanks :)