What is the purpose of the Voting Delay?

The Voting Delay is the number of Ethereum blocks to wait before voting on a proposal may begin after a proposal is submitted.
DYDX voting power must be delegated to an address either entirely before a proposal has been submitted or during the proposal Voting Delay.
For now, the Voting Delay is set to 6,570 blocks, which is about 1 day. This value is added to the current block number when a proposal is created.
In the future, dYdX Governance may vote to increase or decrease the Voting Delay. While there are obvious benefits to an increased Voting Delay. It may introduce some potential adverse outcomes such as opportunistic edge case exploitation.

What is the purpose of the Proposal Threshold?

Since DYDX is a freely tradable asset, anyone can attempt a governance takeover via market buying. That said, to force-pass a bad faith vote would require a minimum of 5 million DYDX in the event of a short timelock or 20 million DYDX in the event of long timelock. If not outright impossible, this amount would be prohibitively expensive and likely cost more when accounting for price fluctuation than the net gain from the attack.
If a group somehow achieved a bad faith takeover, the timelock delay would give affected agents time to withdraw their assets from the protocol. This would also be an opportunity to fork the protocol, a path that would likely be taken by the remaining good-faith actors.