Step 1: Analysis of \( P_{n,\delta}(x) \)
The function \( P_{n,\delta}(x) = (1 + \cos x - \cos \delta)^n \) tends to 0 for most values of \( x \) except near \( x = 0 \). As \( n \to \infty \), the integrand becomes negligible except for values of \( x \) near zero.
Step 2: Contribution of regions far from 0
For large \( n \), the contribution from regions where \( |x| \) is not close to zero rapidly vanishes, because \( P_{n,\delta}(x) \) decays quickly outside a small neighborhood around \( x = 0 \).
Step 3: Conclusion
Thus, the integral over the region \( [-\pi, \pi] \setminus [-\delta, \delta] \) vanishes as \( n \to \infty \). Therefore, the correct answer is (D).