After having spent an hour or two trying to find the right answer, I found the easiest and most beautiful solution as the following :
1. Follow Google’s instructions to setup your main account using Exchange protocol.
2. On your iPhone or iPad, launch Safari and go to m.google.com/sync – don’t forget to choose English (US) language, it doesn’t work in other languages.
3. Authenticate and the select the delegates you want to add to your iPhone’s calendar.
4. Keep in mind that the calendar’s colour will be choosed automatically in the following order : red, orange, blue, green, purple. Add them one at a time if you want to choose the colour order.
Feel free to post in the comments if you have any other suggestions.