I notice when I unhook my antenna on my HD Radio it still has a HD signal and still playing music for about 4-5 secounds and then shuts off to static. I just wondered if it has a delay or is that just from analog?

Yes, the digital signal has a delay, so the radio can buffer some signal data to minimize "drop-outs" as the signal quality varies. A well-engineered HD station also delays its analog signal to match the digital signal's delay so the automatic switching works smoothly.