A 'delta' load, such as a 3 phase motor or the primary of a transformer, uses only the 3 phase conductors from the source. It doesn't matter if the source is wye or delta, the load uses only the 3 phase conductors, and does not use the neutral. This is true even if the load internally actually has a 'wye' connection (very common for some types of motor).
The X0 terminal of a delta/wye transformer will be _grounded_ using a proper GEC to your grounding electrode system. If your 480V supply happens to be a grounded wye, then the neutral of the 480V system will be grounded in the same way and thus connected to X0, but only indirectly, not by a current carrying circuit conductor.
-Jon