I think what would make the most sense is for a while even after recovering Dio had relapses, or something, and Claus was injured during one of them. I find it very easy to believe that whatever Delphine did to him would have lasting, possibly even permanent effects on poor Dio.

Completely off topic: Behold my crappy photoshop skills! http://i47.tinypic.com/jiyvtl.jpg
This is the background of my computer now.