It looks like the only difference here is that the first sentence has no specific subject mentioned, and so it's called the "passive voice". It's communicating that someone, somewhere, we don't know who, said the delegates came to the conference, but there are no specifics attached. Passive voice is a kind of writing that is seen more in academics and research papers.
The second sentence points out that someone specific ("They") said the delegates came. This style is called the "Active Voice", since it assigns the action to a specific subject. To use this sentence, you'll need to introduce the subject (define who the "They" is" before you write the second sentence above. The "Active Voice" is a style of writing that is most often found in quality news writing since it conveys more movement and the feeling of motion to the sentence (if that makes sense...) - it basically makes the writing feel more alive. If you were to use this sentence in something you were writing, you could write something like: "The 4 mayors gathered for lunch and talked loudly. They said the delegates have come to the conference."
Hope that helps!