Hello @Juan C.Cilleruelo and @AndreasSt, I had the same issue and managed to retrieve the TPythonDelphiVar like this.
function TPythonViewModel.GetDelphiVar: string;
var
PyResult: PPyObject;
begin
FPythonDelphiVar.Engine := FPythonEngine;
FPythonDelphiVar.Module := '__main__';
FPythonDelphiVar.VarName := 'DelphiVar';
FPythonDelphiVar.Initialize;
FPythonEngine.ExecString('DelphiVar ="Hello"');
PyResult := FPythonEngine.EvalString('DelphiVar');
if PyResult <> nil then
Result := FPythonEngine.PyObjectAsString(PyResult)
else
Result := 'Error: EvalString returned nil';
end;