Next to the bar, there is a small icon that turns Local Deliveries on or off. This manages deliveries inside the city, generally delivering to your mines and factories. For the Great Works, it shouldn't matter if it's enabled or not. I usually turn this on anyway, just to be certain that my local factories get deliveries of the resources they need, but I don't think it's a requirement for the GW.
The longer button underneath the resources is labeled Manage Global Market Deliveries. This is the one that has to be set to either "Import" (if you need to buy the resource in order to supply it) or "Use Locally" in order to get the resources delivered to the GW.