Future Delenn tells him to NOT go to Z'Ha'Dum...though that makes no real real sense. Future Delenn knows they win the Shadow War and all the other good stuff. Yet she is willing to risk LOSING the Shadow War. Why?
I always assumed Delenn told him not to go to Z'Ha'Dum because he told her he'd seen her in the future and she told him not to go to Z'Ha'Dum. Particularly because he then told her in this episode that her telling him not to is partly why he did. So Future Delenn rather than speaking her own mind is trying to preserve the timeline by saying what Sheridan told her she said.
"'But there's still such a lot to be done...' YES. THERE ALWAYS IS."