Okay, quit complaining, falcon
The primary issue is that the Delving doesn't seem important, as little information is unveiled to us. Sure, we figure out that Roethe knew his way around the Consulate, but that's heavily implied in chapter one. We know he was important. So, the Delving didn't reveal much that was necessary.
No, your goal with showing Delving here was obviously to display it early, because it's going to be important later. You wanted us to see that Delving was cool. But its less cool and more disorienting. I was always fairly clear on what the external action was (see below at the line edits), but your explanation for why James couldn't leave the Delve were lackluster. I
think what you meant is that the trance Roethe was in to protect himself from the torture prevented James from leaving, but I'm not certain that actually makes sense.
Roethe, in that first memory, placed his mind in a trance. This has the effect of him being okay. I'm not understanding how this forces James to experience it. Such transferrence seems almost counterintuitive. Also, the phrase "He took himself into the Heartglass" almost gives the impression that the real Roethe placed his entire mind into the Heartglass, in effect still being alive. The sentence "Follow Roethe" supports this notion. Since there's no other evidence of Roethe being "alive", I'm fairly sure this was not the impression you wanted to make.
And then, once in a more peaceful memory, James could escape, I guess? Yeah. Delving's "cool" logic is in fact, very confusing. (Mostly, the two paragraphs here pulled me out of the story in a "what?" moment: "A trance. He took himself into the Heartglass. That cheap bastard. And he was stuck here, to experience everything Roethe never had. He wished the knife he'd stabbed Roethe with had been dull.
An idea crept into his head. If he couldn't get out, maybe he could go deeper. Follow Roethe. Surely he had gone to a more peaceful memory.")
I don't know enough about the mechanics of Delving and Heartglass to see the significance of the inconsistencies James notices, like being able to focus away from Roethe and the extra clarity. It less sets up an intriguing mystery and I am left with a passive "that's nice". Everything here could be interesting, and I'm vaguely intrigued, but you'll definitely need something fantastic in the next chapter or two to pull the reader totally into the story.
For positive things, your blocking is quite good. Most always, the principal action is perfectly clear (see line edits for the few unclear ones). The parts in prison are the clearest and most immediate, so its no wonder that I liked that segment of the chapter better. The prison scene had consequences. The Delving, not so much.
There's not a lot of character voice from James specifically, but that does not make him less interesting to read. I just focus on the external events more. Since there is tension (at least with the prison), this works. Good job on the character front.
Line items:
The first page is slightly disorienting--which I know is your intention--but I think it could be clearer by replacing some of the "he" with "James". One or two of those would clear things up considerably.
Instead of "It had streaks of pink Aerendai blood spattered against it." use "It had streaks of Roethe's pink Aerendai blood spattered against it." I reread Chapter One, too. We could use more reminders that Roethe is not human.