Hi, you said:
If a delegate is “keeping” your tezzies and allows you to control private keys, this means that both you have knowledge of the private keys.
Maybe that is not what you meant though? In any event, you will be able to use a regular wallet (non webwallet from my system) and still be able to use Tezzigator (or most any delegator, for that matter) as a delegate.
If you have a node on the alphanet now, or are using one of the alphanet wallets that allow delegation, you can delegate out to tz1gator8pjfx4PGm6vaUPVqY1fsvZ2hbo32 now and see all the reporting we have buil in operation already.