entityfieldquery, return several results
The table in your screenshot is a field table. It stores field data for entities, for both multiple and single cardinality fields.

When you use an EntityFieldQuery, you're querying for entities, not fields. It wouldn't make sense for you to receive data for anything else.

The connection you need to encourage your brain to make is that the fields are attached to the entities. So, if you want to know about multiple field values for a node, you just need to go and get them:

// Keep track of the delta, you mentioned you wanted it...
$delta = 0;
foreach (field_get_items('node', $node, 'field_foo') as $item) {
  $field_value = $item['value'];

  $delta++;
}


If that isn't what you're looking for, then EntityFieldQuery probably isn't the tool for the job. If that's the case, and you're using MySQL as the storage backend for fields, I'd recommend manually querying the field_data_field_foo table to get what you're after directly.