You can almost do what you're describing with this clock.
In actuality, it is better to NOT add time after move 40, but instead add the extra hour after one side's clock runs to 0:00. This is because it is fairly common for the wrong side to start (i.e. time would be added after black's 39th move) or for the clock to be pressed an extra time which would result in time being added after white's 39th move. This is problematic because now the clock says that you have, for example, 61 minutes left when in reality you would only have a minute to make your move.
So with that intro, it is very easy to setup the clock with two time controls and a 10 second delay. As described above, the extra hour is added after the time first goes to 0:00. A small flag icon is displayed and the clock continues counting down from 59:59.
In order to set the clock this way, you would use preset 23. (Turn the clock off then back on and press the + button or - button until 23 is displayed)
After selecting preset 23, set the main time for the first time control to 2:00:00 on the first screen. Then the clock will display
1 | 0.00 with the word "delay" in small print underneath the time. This is the delay for the first time control. Set this to
0.10 for a 10 second delay.
Now simply repeat these steps for the second (and possibly third) time control and you're ready to play.
One last caveat, before you start the game (by pressing the play/pause button), make sure that white's side of the clock is raised by pressing black's side. Most clocks can be started by simply pressing black's clock at the start of the game, but this clock needs to be unpaused in order to begin.