Not every Delta location has a Skyclub. CMH happens to be one that doesn't. Apparently DL has not determined that it is in their best interest to put one there, at least for now. Maybe some of the earlier posters know something about the market that Delta doesn't. Or maybe they just have superior business judgement..
Fear not. Columbus is in America. Anyone is allowed to acquire sufficient capital and open an airline club in an underserved market, thereby earning a ton of money. That's how the system works.