GTM: Delegation of top level domain

Delegation is just creating a pointer that sends a DNS client to the right DNS server. Obviously the GTM can't respond to a DNS request if it never receives the request.

In your case, you could move the zone to the GTM, or you could set up a CNAME in the original zone that redirects requests for example.com to something like gslb.example.com. That might be easier to do in your environment.

This document - Delegating DNS Traffic to Wide IPs might help with the concepts