First regarding your question "Are $\Sigma$ and $\Sigma_n$ two separate sets? If I understand it right, the first one contains a series of sentence symbol, while the second one contains one symbol only.", clearly they're different and $\Sigma_n$ doesn't necessarily contain only one sentence symbol from the definition in your reference:
Let $\Sigma$ = {$\sigma_0$, $\sigma_1$, . . .}. Let $\Sigma_n$ = {$\sigma_i$| i < n}.
So $\Sigma$ is an infinite set of wffs (sentences), while $\Sigma_n$ contains only $n$ such formulas (indexed from $0$ to $n-1$).
Regarding your question "Why are there two separate cases for $\Delta_n$? Specifically, a case in which $\Delta_n$ $\models$ $\sigma_n$, another which $\Delta_n$ $\not\models$ $\sigma_n$."
Here in the proof $\Delta_n$ appears in the general inductive step which is assumed to be tautologically independent and equivalent to $\Sigma_n$, but this by no means
$\Delta_n$ $\models$ $\sigma_n$ or $\Delta_n$ $\not\models$ $\sigma_n$ (remember from above that $\Sigma_n$ contains only $n$ such formulas indexed from $0$ to $n-1$). So we have to proceed with two cases. The first case ($\Delta_n$ $\models$ $\sigma_n$) simply means $\Sigma_n$ $\models$ $\sigma_n$ by inductive hypothesis and thus $\Delta_{n+1}$ = $\Delta_n$ is equivalent to $\Sigma_{n+1}$. So we just find such a construction using $\Delta_n$ itself. Another case we need to construct $\Delta_{n+1}$ according to some specific Horn clause algo as shown in your reference as $\Delta_{n+1}$ = $\Delta_n$ ∪ {$\delta_n$ → $\sigma_n$} where $\delta_n$ is defined as $\alpha_0$ ∧ · · · ∧ $\alpha_k$ each of which is a member of $\Delta_n$. Your another Math Exchange reference mainly discussed this second case since that reference constructed $\Delta_n$ in a more specific way.
I hope you don't mind me asking more questions.
– Bedivere Aug 20 '21 at 17:50