This changed in firmware version 2.2.

This was a holdover from the Context V1 delay+reverb algorithm.  The input signal and delay output are fed into the reverb (as shown in the signal flow in the Owner's Manual).  Context V1 did not have a reverb/delay blend, and in the initial Context 2 firmware (v2.0-2.1) the reverb/delay balance is on the output of both.  That enabled you to feed the delay output into the reverb for diffuse reverberated repeats, without a clean delay signal.  To turn the delay completely off, you need to turn the delay and feedback to 0.  That gives some flexibility, but clearly caused some confusion and annoyed some people.

In the 2.2 firmware release, we changed the signal path so that the reverb/delay balance affects the amount of delay signal going into the reverb.

Because the delay is shut off by during DELAY and FDBK both to 0, if they are both at 0 the BALance knob will not have any effect and the reverb signal will always be at 100%.