This looks like a bug in the Upgrades Plugins where the import is being validated against the wrong library.
The VaultFactory contract has a transitive dependency on Initializable from @openzeppelin/contracts-upgradeable. This is the correct dependency for upgradeable contracts.
But when the plugin does validation, it is also matching against Initializable from @openzeppelin/contracts (due to other contracts importing that version). The validation should match against the one from @openzeppelin/contracts-upgradeable instead.
Initializable (the non-upgradeable version) imports a function from Address, and Address has a delegatecall function and therefore triggers the error.
The root cause is the same as https://github.com/OpenZeppelin/openzeppelin-upgrades/issues/240 since the Address function being imported in Initializable does not contain the delegatecall itself.
But some additional setup in your repo is causing the upgradeable and non-upgradeable library to be mixed up during validations -- this seems to be a separate issue in the plugins which is tracked in https://github.com/OpenZeppelin/openzeppelin-upgrades/issues/263
UPDATE: this is fixed as of @openzeppelin/upgrades-core@1.20.4