I'd say go with LHR, but do tell us where you're inbound from to help out a bit. FCO is a bit of a mess (not hard to get around, but a bit unintuitive the first time), and LHR T4 is very simple. You would just use flight connections, so no need to clear immigration (the big timewaster) or customs. You would, as usual, re-clear security, but the MCT for AZ-DL at T4 is one hour, so you should have plenty of time to do what's needed, even if delayed. (Plus you'd get to check out the awesome ST lounge.)