Adding COMPRESSION_DELAY to an existing COLUMNSTORE INDEX
An existing columnstore index can be altered as such:

ALTER INDEX ColumnstoreIndexName ON SchemaName.ObjectName
SET (COMPRESSION_DELAY  = x Minutes);


As found in the documentation on ALTER INDEX

ALTER INDEX { index_name | ALL } ON &lt;object&gt;  
{  
...
    | SET ( &lt;set_index_option&gt; [ ,...n ] ) 


&lt;set_index_option&gt;::=  
{  
      ALLOW_ROW_LOCKS = { ON | OFF }  
    | ALLOW_PAGE_LOCKS = { ON | OFF }  
    | OPTIMIZE_FOR_SEQUENTIAL_KEY = { ON | OFF}
    | IGNORE_DUP_KEY = { ON | OFF }  
    | STATISTICS_NORECOMPUTE = { ON | OFF }  
    | COMPRESSION_DELAY= {0 | delay [Minutes]}  
}