Distributed optimization has experienced a significant surge in interest due to its wide-ranging applications in distributed learning and adaptation. While various scenarios, such as shared-memory, local-memory, and consensus-based approaches, have been extensively studied in isolation, there remains a need for further exploration of their interconnections. This paper specifically concentrates on a scenario where agents collaborate toward a unified mission while potentially having distinct tasks. Each agent's actions can potentially impact other agents through interactions. Within this context, the objective for the agents is to optimize their local parameters based on the aggregate of local reward functions, where only local zeroth-order oracles are available. Notably, the learning process is asynchronous, meaning that agents update and query their zeroth-order oracles asynchronously while communicating with other agents subject to bounded but possibly random communication delays. This paper presents theoretical convergence analyses and establishes a convergence rate for the proposed approach. Furthermore, it addresses the relevant issue of deep learning-based resource allocation in communication networks and conducts numerical experiments in which agents, acting as transmitters, collaboratively train their individual (possibly unique) policies to maximize a common performance metric.