Inheritance, say comes in delicate setting (6)
I believe the answer is:
legacy
'inheritance' is the definition.
(legacy is a kind of inheritance)
'say comes in delicate setting' is the wordplay.
'say' becomes 'eg'.
'comes in' means one lot of letters goes inside another.
'delicate setting' becomes 'lacy' (I can't explain this - if you can you should give a lot more credence to this answer).
'eg' put into 'lacy' is 'LEGACY'.
Can you help me to learn more?
(Other definitions for legacy that I've seen before include "Sort of gift" , "Gift left in will" , "Hand-me-down" , "A bequest, something left in a will" , "What is left to one in will" .)