User has data in the Data Grid, clicks Save As, and then chooses to save as delimited text file. After saving the file, user opens it and there are no delimiters in the file. This also happens when saving to the clipboard.
Delimiters are not inserted after the last record, unless the option is checked. Since the results only had one column and the option was not checked there were no delimiters.
Check the "Include delimiter after last record" option. It is located on the Save As window right after the delimiter type field.