strange DEFERRABLE behaviour

Hi

I've got some tables defined as:
create table xx (
some_column references master_table

It means this column is defined by default:
NOT DEFERRABLE, INITIALLY IMMEDIATE

I tried replacing rows in this table by new ones as:
set autocommit=off;
begin;
set constraints all deferred;
delete from ....
insert ...
insert...
commit;
I get "integrity violation"... just after "delete"

If I well understood manual, it works like it should. I'm not sure,
because if I run this query in pgAdmin2, it works fine (why?) and
replaces rows as needed.

When I drop this foreign key constraint (not too easy without a
constraint name) and recreate it as "DEFERRABLE", this query works fine
also in psql.

My question is: Why my query works fine when using pgAdmin, and it fails
when using psql?

Regards,
Tomasz Myrta