How can Delphi ‘string’ literals have more than 255 characters?

why did not delphi give any error saying the length is beyond 255 for
myExtremlyLongString?

You have your answer a bit down in the text in section Long String (AnsiString).

In current versions of Delphi, the string type is simply an alias for
AnsiString,

So string is not limited to 255 characters but a string literal is. That means that you can build a string that is longer than 255 characters but you can not have a string value in code that is longer than 255 characters. You need to split them if you want that.

sMyString:='ThisStringisofLength255'+'ThisStringisofLength255';