Yes, I too would put a comma - "When she looked up, she was delighted." You can almost hear the comma when you say the sentence - there would be a definite pause after the word "up".
Some grammarians say that commas and pauses are not necessarily related. If you can "almost hear the comma", maybe it's not needed.
Anyway, I'm not surprised that many people would use a comma to separate the two clauses, but saying it is "needed" in that short sentence is perhaps overstating it a bit. But puting a comma there is not wrong.
As in other things, people can vary in how often they use commas.
In my opinion, the sentence doesn't suffer any from lack of a comma. The two clauses naturally separate from each other, even though you don't really need to pause between the clauses. (When A happened B happened.)
That's my opinion, and so far I'm only outvoted 5 to 1. ;-)