Iām not an expert on characters like Murder and Horror, so those who are who happen to come upon this can correct me if Iām wrong, but Iāll try my best to answer.
For Killer, the answer is a very big yes. In his comics, Killer thinks to himself things like how he canāt be Sans, because Sans wouldnāt kill Papyrusāand this is one of the reasons why he knows heās ādifferent.ā In asks, itās revealed that Killer doesnāt think he has earned the right to be called Sans again or to ever change his name from Killer. He talks about how he wants to change in his Good Endingāhow he wants to be Sans again, and begs Color to help him with doing that.
(To which Color seems to think the way to do that is to somehow fix Killerās soulāsuggesting that the way Killerās soul was unwillingly changed without his consent had a major effect on Killerās sense of identity and perception on himself. On top of that, his codeālike in a video game, meta senseāwas altered from his normal coding to āk1ll_sans,ā and we see that code seems to be tied to, potentially āactive,ā depending on what state (Stage) his soul is in.)
On top of that, thereās the whole ātwo personalitiesā thing. A lot of debates in the fandom on what exactly this is supposed to be or represent, but most seem to agree that it is dissociative in natureāso the idea of this character, Sans, having developed a dissociative disorder due to the events of this timeline (Something New timeline) isnāt too far fetched.
According to Google, āDissociative disorders are mental health conditions that involve a loss of connection between thoughts, memories, feelings, identity, behavior, and surroundings. They can involve involuntary escape from reality and are often linked to breakdowns in memory, awareness, identity, or perception.ā
So yes, Killer does not consider himself Sansāor at least, not the Sans he was, and he seems to consider himself different from both alternate timeline Sanses and especially from alternate universe Sanses. This whole identity has a very big hold on his day to day lifeāNightmare can use it to override his choices, perceptions, thoughts and emotions. Killer relies internally on these two āpersonalitiesā on making his own choices.
He seems to experience black outs and loss of control of his own body when encountering something that triggers his soul into Stage 4 (or when something triggers a flashback that winds up triggering that Stage).
He talks about himself in Stage 3 in a very removed, detached wayānot as if itās a different person entirely, but in a way that suggests that he either doesnāt have control over himself when in Stage 3, or that he doesnāt see any issues with anything he does when in Stage 3 or why he shouldnāt do it or not want to do it because it makes sense to him when heās ālike that.ā
He talks about himself when in Stage 2 in a very similarāonly with less emphasis on āimmediately kill meā and more on ādonāt trust me when Iām like that. Ever.ā
For Horror, itās to my understanding that he doesnāt really have any reason or need to consider himself not SansāHorrortale doesnāt seem to dive much into AU stuff canonically. I do know he seems to have some type of amnesia and/or memory issues, as well as seemingly a bit of a personality changeābut that seems to be due to both his skull injury, his current situation and environment, and the trauma of his attempted murder and betrayal of his two friends.
But his identity and sense of self seems to be mostly intactāhe is Sans, even if he may or may not remember long stretches of his life before the events of Horrortale.
As for Murder, he also seems to have an intact identity and sense of selfāhe is Sansābut just different, thanks to time, trauma and stress, as well as his own actions and choices driven by his own desperation. I remember reading somewhere that he just doesnāt like who he was before.
As for Delta and Color, this oneās a little tricky, as not only has that type of stuff not been very picked into in their canons (and Delta has very little), but they also absorbed human soulsāsouls that belonged to entirely separate, developing beings with their own personalities, senses of selves, experiences and memories, and therefore likely their own motivations, desires, narrative and interpretations of events, goals, dreams, and voices.
I know Gaster still calls Color by āSansā in the canon Othertale materialābut like Horror, itās not actually canon that Color ever leaves his universe and starts meeting and interacting with other alternate universe characters, besides his encounter with Core Frisk in the Void. Heās also aware of alternate timelines, but not alternate universes.
Not to mentionāColor (or Sans) wouldāve realistically spent about two decades of his life completely trapped in the Void and isolated from the rest of the world, both physically but also in their own memories.
The person he was doesnāt even exist or matter to anyone else in Othertale. This is bound to cause some identity issues, on top of the dissociating and daydreaming that the trauma and stress and just loss of everything he knows is bound to haveāalready with the six human souls layered on top like a fucked up identity cake.
We know that superyoumna has said that the souls is not like āmultiple personalities,ā but adding traits on top of Sans (possibly in a way that makes Color), and we have seen a few drawings of that in actionāāyouāre filled with Kindnessāāand although nothing obviously changed other than the color of Colorās flames and eyelight, it does seem have an almost possessive effect on Color and his behaviors when that happens.
To the point that heād disregard others boundaries and others saying no in an attempt to be kind, almost in the way a friendly but excited child wouldālike, for example, very tightly and very suddenly hugging Cross even as Cross struggles, attempts to push Color off, tells him to get off, and calls him a freak.
For Delta, we do see the Bravery soul and Sans communicatingāwith Bravery encouraging and picking Sans up when his grief and depression stops him from wanting to keep fighting anymore. Gives me the idea that Delta is almost like a fusion from Steven Universe.
So i donāt think itād be a stretch to potray Delta and Color with some various presentations of plurality/multiplicity, although it is not due to trauma or a dissociative disorder, even if the characters also have trauma (and will show signs of CPTSD and/or PTSD, with the possibility of the souls themselves also having their own memory, traumas, triggers, and flashbacks) and may experience dissociation and identity alteration, identity confusion, switching, co-con, blurred sense of self, fusion, passive influence, and/or just a sense of ābecomingā different or someone else. Itād be very rooted in the elements of the fictional universeāmagic, supernatural, souls.