Thanks to the writer from above (Pingu510) I could give a better explanation about the time circle using the picture with arrows.
My guess could be wrong and Rowling could have an another way to explain about what happened but my best guess is that after Ron, Hermione, Snape and Scorpius went back to the first task (1), they have successfully changed the timeline on its proper way again.
However, you may ask why did they come back to the time where Voldemort is still raging. You should understand that the time they have returned to isn't a new time (4), but returned to the time (3). This is the point where things get complicated.
Changing things of the past is not possible if you have read the book of Azkaban. Even if you use a time-turner to fix things, all you could do is not interfere with the past but do the same things again. That makes the present you know exactly the same as the present you have made with the time-turner.
In The Cursed Child, it could be seen as you have changed the past, however it is likely that you have moved to 'another world where things are different' like Scorpius said. You just move to a different dimension where things are different. Therefore, the Time-Turner only moved Scorpius to World 1 to 2 and to 3. And with the help of Ron, Hermione, Snape from World 3, he returned to the boundary between world 1 and 2 and blocked the spell.
Therefore, this caused Scorpius to return to the present world 1 but leaving the others still in world 3 where they belong from the start. And as the Time-Turner works again, he returns to world 1 where his father and everybody is waiting for the time-adventurers.
Another guess is that they could have returned again to the boundary world 2 and 3, and seeing from the type writing used in The Cursed Child as a play write, but guessing from the evidence only given from the book that's my answer of why they returned to the first task and not visiting the second task.
And also, Delphi could be understood in the same way by seeing her moving through worlds just like Albus and Scorpius but gets captured in the world where Harry's parents died.