That's the same message that comes up when you try to delete your own unclosed answered questions. Since I'm a 10k user, I think the system should at least allow me to cast a regular, non-binding delete vote for that post, if not delete it unilaterally.
The reason for preventing deletion of open questions with answers is to prevent askers from throwing away the work of other users. Of course, there are plenty of questions with lousy answers that could still make The Internet a better place by not being visible anymore, and there's always the chance that someone is sitting their, just about to post some great answer, but preventing askers from unilaterally removing them once an answer actually exists is the compromise we've put in place.
And none of that changes when a question is closed. Closing isn't supposed to be the final word, you see. It's a sort of nomination for deletion, but it isn't deletion itself - there may be something worth salvaging:
A good question trapped in poor phrasing. Note how you can still edit closed questions. Many a query has gone on to live a long and useful life after going through a close-edit-reopen cycle.
A signpost. We tend to discourage deleting questions closed as duplicates, because even if the answers are already somewhere else, the title can help folks who'd never phrase their question in the manner of the original to find it.
A really good answer. Maybe not enough to make up for the deficiencies of the question itself, but... Perhaps the question could be edited. Or, if it's a duplicate, it could be merged.
A user worth educating. Yeah, your question was misguided, and you didn't search, and all those references to Hitler didn't really help your case any... But you just had a bad morning. Someone pissed in your Cheerios. Literally. We can forgive. So instead of deleting your question and stomping off in a huff, maybe sit down and apologize? Seek forgiveness? And then ask a moderator to remove your shame?
Pretty much the same thing applies to the waiting period.
Now, in response to your comment that the 10K/20K abilities should override the question-owner restrictions... Look at it like this:
As a new user, you can't delete other people's questions or other people's answers. You can delete your own questions, so long as they aren't closed and the deletion doesn't result in an answer being deleted.
As a 10K user, you can vote to delete other people's questions, provided they've been closed for two days, but you can't delete their answers (except by voting to delete an entire question). You can still delete your own questions, provided they haven't just been closed and don't have answers. So far, this is consistent: we're not letting you do things to other people's posts as a question-owner that you wouldn't already be able to do as a citizen.
As a 20K user, you can vote to delete other people's questions and other people's answers so long as they've been down-voted below 0, with no waiting period required. So now there's an argument to be made that you should be able to delete or at least vote to delete your own question provided all the answers have scores < 0... Though frankly, this seems like such an unusual edge-case, and I don't see anyone arguing for it seriously.
And... You're not arguing for this. You seem to think that at 10K, when you gain the ability to vote on deleting other people's questions, you should also get a shot at their answers - provided they've answered your question. Now, I'm all about more answers being deleted...
But let's face it: as the asker, you're among the least impartial judges of what should and should not stick around as responses to your question. I really can't see trusting you more when it comes to deleting answers on your own question - and remember, that's what deleting an answered question entails - than I would trusting you to delete answers on some other person's question.