This quirk is down to the reservation (GDS) systems used by each airline. AF/KL use Amadeus, which presumably CI also uses, hence you can import the CI itinerary into the AF app. DL uses its own homegrown reservation system, so any DL only itinerary booked directly with them can’t be retrieved by anyone else.

This is also why if you book for example a KL codeshare operated by DL, you’ll end up with two different confirmation numbers (record locators). Though in that case, both numbers will work in both systems (presumably thanks to some specific work KL/AF/DL have done together on the IT side).