If you want to mark a delve as completed on your map, you must defeat the delve boss within its halls. While each delve has both a boss and a Skyshard, you need only defeat the boss to “complete” the delve. This can create a tricky situation because the delve will be marked as complete and if you leave without collecting the Skyshard, it will be hard to remember if you grabbed it or not. We highly suggest you make the Skyshard your first objective and take out the boss only after collecting it.
The Elder Scrolls Online: Summerset eGuide Delves