It won't have a noticeable difference days after the delegation was carried out but it would have a slight difference in the SP delegated after a month or so.
A lot of users are still not aware of this but if you hold Steem as SteemPower, you are automatically earning some Steem (in SP) as interest due to inflation.
What this means is that even if an account with say 1000SP does absolutely nothing in a month (no post/comment nor do any upvote), that account will still gain around 2-3SP (the increase in SP depends on how much SP you hold; so the larger the SP you have the more you will get every second) just because that account holds Steem in SP form.
Going back to your question above, If say the both of them delegated 1000 Steem Power to each other but one of the account is a orca/whale then after a week or a month, you'll notice that both of you are not delegating 1000SP anymore. The orca/whales delegation might have now become 1005-1010 SP while your delegation is still at 1000-1002 SP.
It's just treated as a normal delegation. The accounts loose access to that much SP due to the delegation and get it back because its delegated back. So there would be no real effect on the account other than the delegation removal time if one chooses to undelegate.