The -delete switch of synchronize deletes obsolete files in the target (local in this case) directory. Not downloaded files, that would not be a synchronization. The point of synchronization is to make contents of both directories identical.

If you want to download a file and remove the original, use get -delete *.csv.
See https://winscp.net/eng/docs/scriptcommand_get

Trying to use synchronize to retrieve unique files from an ftp site, and then delete the file from the remote site. The unique file is retrieved, but not deleted. Also files in a subdirectory are retrieved as well as the directory structure.

Script Code:
option echo on
option batch on
option confirm off
option transfer binary
open sftp://DPS_Oxford:xxxxxxxxx@99.99.999.99 -privatekey=D:\Spool\VBControl\Policy_FTP\DPS_xxxxxx.ppk
cd /OX1000_POLICY_PRINTING_WITH_CERTIFIED_MAILING
synchronize local P:\PolicyAssemblyAnnuity\AnnuityTrackingArchive -filemask="/OX1000_POLICY_PRINTING_WITH_CERTIFIED_MAILING\*.csv" -Delete
close

Command executed:
sCmd = """C:\Program Files\WinSCP\WinSCP.com"" -script=" & sFTPTempFile & " /log=P:\PolicyAssemblyAnnuity\AnnuityTrackingArchive\Script.log"


exit