I have ran into this issue in many games using different systems. My players either start in or reach a point where they should be above things that normal adventurers are about, whether it be building a stronghold in D&D or getting seven circles and seven resources in Burning Wheel. However, my players seem to attempt to tackle every issue personally, like staking out a warehouse instead of sending their minions to do so or keeping a merchant safe.
This is going to be a big issue with my next game, as I will be running a Rogue Trader game. I fear that the players may actually attempt to attack the enemies personally instead of deploying the hundreds of thousands of soldiers they have on their ship, or decide to oversee construction efforts personally rather than just assigning a foreman.
This kind of behavior would not click well with the story I wish to tell, so I want to ask before it is too late.
How can I make my players delegate their tasks to NPCs and focus on things that are more important (both in-universe and in-narrative)?
Should they delegate?
This is the key question that you need to answer to get them to delegate. Unless you give them very powerful people, they are the most competent people around in many situations. They can fight better, track better, interrogate better. Why should they let NPCs do the job when they can do it best?
The answer to getting them to delegate is three fold.
Give them challenges they can't solve personally but NPCs can.
If there is just one building project, or one group of enemies, they can go to solve it personally. If they need to dominate half a world, or build a city they can't micromanage everything.
Then have other NPCs suggest that they use their vast resources to solve it, and have those vast resources mostly work well at solving their problems when they deploy them. You might have crisis points where they need to intervene, but mostly have them succeed at their tasks, so that the players don't feel discouraged. When I have ran rogue trader games I've found that players are a lot more likely to use NPCs when the NPCs succeed more.
Players like success, and NPCs give you the ability to be successful across a vast array of things, in a way that a party of very competent people can't be. It's pretty cool to lead an army to success.
Give them people who are better at tasks that they don't care about
You don't want to outshine the PCs in their core areas too much or they'll feel inferior and bad, and I found that having equals to the PC often encouraged them to go solo, but you can have NPCs around who are excellent at building or tactical management of armies (skills they often don't have) who get better results than they do. You can show this by having them suggest plans which would work, and accomplishing tasks better on their own.
They can also ask the PCs to not micromanage them while they are building houses for locals.
I found my players liked this more, because they often had a passing interest in things like building but not enough to invest character resources into it. Being able to seize the successes of NPCs who were skilled in other ways often excited them.
Make using armies exciting by having hot spots
If you have a vast array of people, that means you can get to adventuring quicker. Often my players in rogue dungeon preferred to reserve the exciting actions to themselves, as they should as players. I mitigated this by making delegation lead to exciting missions. In the midst of building a city, a chaos cult might be found, or an army fighting another army may falter unless an elite team kills the enemy leadership.
It took some time to break the cycle of players seeking out the best jobs for themselves, but showing them repeatedly that delegation led to better jobs led to them seeking out the most exciting jobs via delegation.
With all these three things my players delegated more actively and enjoyed it, and yours can too. Rather than having NPCs outshine PCs, you can have NPCs complement PCs and make them even more awesome.