Soulflayer has a linked ability: it will look at the cards in exile to determine what abilities it gets, not how the cards looked in the graveyard. And if the card isn't in exile, then Soulflayer won't get any abilities from it.
1. Yes, you paid the cost of exiling the Horde. It didn't end up in exile, but that doesn't mean the cost wasn't paid. So you can exile the commander, then choose to put the commander into the command zone, and that will count for one towards delve.
2. Nope. The Horde is not in exile, so Soulflayer won't gain any abilities from the Horde.
3. Nope, since Soulflayer cares about what abilities the cards have in exile, not the graveyard.
Nathan Long
Wizards.Com Boards NetRep