Well, the profit margin is good because Gasoline and Diesel Fuel are SO CHEAP. (/s)
When you get into your car and drive 5 miles to the store and then 5 miles back it's 10 miles spent to deliver, say, three bags of stuff. It's 3.3 car-miles per bag.
When a delivery driver gets into his truck and drives 100 miles on a route, he delivers 300 bags to 100 customers. It's 0.3 truck-miles per bag.
The difference in efficiency is huge even after you count the higher fuel consumption of the truck; but then you will have to count the time too.
Your trip to the store needs you to drop what you are doing, spend the time on the road, then wander aimlessly at the store, then stand in line to the checkout, then load the food into your car, return the cart, drive home, unload the car. That's a couple of hours of your time spent right there.
A truck driver, on the other hand, doesn't walk the isles, and doesn't stand in checkout lines. His truck is loaded at the loading dock, with a forklift perhaps if Wal-Mart knows a thing or two about efficiency. The items will be arranged in the order of delivery, and he needs just seconds to grab your bags and give them to you. Since you paid online already, there is nothing else for the driver to do.
I will consider this delivery option myself, and will use it if the price is right. The nearest food store (Safeway) is about 5 miles from my house. I stop there if I'm passing by, but I never intentionally went there and back; it's easier to stay hungry for a day or two :-)