Thinking through both the structure of formulas and the data on which they will be used is important
For a small set of data, such as the Counties table with 92 records, if the app delegation limit is set to 500, even a non-delegable query is not going to be a problem. For a much larger data set, for example incidents being raised at a corporate helpdesk, a non-delegable query could well return incomplete data. Making the query partially delegable (for example filtering for open cases being managed by a specific helpdesk advisor) reduces the risk of incomplete data
There are advantages to loading data into collections and working on it locally rather than continually interrogating and updating the data source direct. However, care does need to be taken with this approach. The above examples demonstrate how this may create problems with delegation unless formulas are structured correctly
Whilst I have used Dataverse in my examples, the same principles apply to other data sources such as SharePoint. The Power Apps functions that are delegable can vary by data source. Full details can be found here