Why ?

ansible-delegate_to-fail.yml

---
# ---Setup:
# > ansible-playbook -i mytest.ini mytest.yml --limit test2
# ./mytest.ini:
# test1 site=ams
# test2 site=ams
# test3 site=blg
#
# ---Result:
# PLAY [TEST] ********************************************************************
#
# TASK [ansible.builtin.debug] ***************************************************
# fatal: [test2]: FAILED! => {"msg": "'my_host' is undefined"}
#
# NO MORE HOSTS LEFT *************************************************************
#
# PLAY RECAP *********************************************************************
# test2                      : ok=0    changed=0    unreachable=0    failed=1
#                              skipped=0    rescued=0    ignored=0
- name: TEST
  hosts: all
  connection: local
  vars:
    ansible_connection: local
  run_once: true
  tasks:
    - ansible.builtin.debug:
        msg: "{{ my_host }}"
      vars:
        ansible_connection: ansible.netcommon.httpapi
        ansible_host: "{{ my_host }}"
        ansible_httpapi_host: "{{ my_host }}"
      loop_control:
        loop_var: my_host
        label: "{{ my_host }}"
      loop: "{{ hostvars.values() | map(attribute='inventory_hostname') }}"
      delegate_to: localhost
      # delegate_facts: true