BufferStrategy uses VolatileImage in the background.
The only difference between BufferStrategy and manually creating the VolatileImage is that BufferStrategy uses page flipping, which means it changes the video pointer. When you use a VolatileImage, you have to manually call drawImage, which is called page blitting, or copying the data to the screen.
With both you have to check if the image is lost or restored so you have to follow the way the Javadoc says you should do
To answer your question: BufferStrategy is the recommended option because page flipping is faster than page blitting.
Regarding your issue, what do you mean there is a huge delay? What is showing while the applet has disappeared?