Basically the jquery icons are missing (the prev/next buttons in calendar for instance). It was weird because the icons are under themes/delta/css/jquery-ui/images/ , But it looks like the path is wrong. I copied the icons to themes/delta/css/images/ and now it works well and the buttons showed up. I'm not sure whether the icons should be in this directory or something should be changed in the code to fix the path, so give me a hint.

Location is relative to path of jquery ui most probably and only relevant if you use some of its functions like calendar (date picker).

So should something be changed to make this work OOTB?

Not sure, it's probably issue of position of jquery UI script.
Will maybe check in future.