I'm delighted with you coming to see me!

[ROBINDESBOIS]

is that correct or should I say I m delighted that you come to see me

[poli]

Both are correct, but they have slightly different nuance.

I am delighted that you come to see me implies the you come to see me on a regular basis (weekly, monthly, etc.)

I am delighted with you coming to see me usually implies an anticipated visit.
Context may change the meaning in this case.