I don't think this is a bug.
Usernames on user-contributed content (posts, comments) are obfuscated because user account deletion is the means through which a user may insist that Stack Exchange remove their names from their posts. The right of an author to insist on this, for collections containing their work or adaptations of it, is provided for by the CC-BY-SA license that applies to all user-created content. See the Creative Commons Attribution-ShareAlike 3.0 Unported license (and the full text and attribution chart).
If You create a Collection, upon notice from any Licensor You must, to the extent practicable, remove from the Collection any credit as required by Section 4(c), as requested. If You create an Adaptation, upon notice from any Licensor You must, to the extent practicable, remove from the Adaptation any credit as required by Section 4(c), as requested.
Thus, the purpose of obfuscating a username is not to blot out evidence of their past presence or obfuscate all their actions. The name of a deleted user who voted to close a question (which was then closed) should remain, for the same reasons we can see it for users whose accounts currently exist. For example, it often helps in figuring out why a question was closed and users can search for abusive closure patterns (no reason for this ability to be limited to moderators).
I'm not a lawyer, but I can't see any reason CC-BY-SA would require credit be removed from close votes, nor any reason it would be helpful to remove it. It's helpful for that information to remain visible, and probably not helpful for it to be removed.
Unless there is unintentionally inconsistent behavior in the display of usernames for deleted close voter accounts, I don't think there is a bug here. I do share your curiosity as to why the Community bot sometimes does appear as a close voter, though.