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When a bounty is active on a question, that question can't be closed. There's currently no restriction on making such a question protected, though:

protect link available on post with open bounty

Should we remove the option of protecting questions with open bounties? Granted, since existing users can still answer protected questions, protection isn't as big of a deal as closure. Still, I could imagine a new user showing up with the answer — maybe even arriving because a current member thought "I don't know this, but I bet I know someone who does" and sending a link — and being frustrated at not being able to answer. Just as importantly, I can't think of any way that removing protection in this limited case could be abused.

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You may have done well to screenshot that you can protect a bountied question, rather than that the button is just present. After all, in that screenshot, "close" is also quite visible. – Grace Note May 10 '11 at 20:47
@Grace, I didn't want to test it until after I'd posted this, so that I could link to something saying "sorry, just testing this question out" if someone got annoyed. But I have now verified that it works. To be honest, I didn't notice the close link in the screenshot until I was posting this question, but now I've asked related question Show “this question has an active bounty and cannot be closed” earlier, when it applies. – Pops May 10 '11 at 20:54
I kinda linked my revision history so that you wouldn't have to have tested it on a second question... hrm... – Grace Note May 10 '11 at 20:58
@Grace, check the timestamps, I performed my test before you posted your comment. – Pops May 10 '11 at 20:59
Just because I was late doesn't mean that I didn't have the intent to save you from being guilty of frivolous protection. – Grace Note May 10 '11 at 21:00
@Grace, okay, but you were late. ♭ – Pops May 10 '11 at 21:02
up vote 2 down vote accepted

I don't really see the point of removing the ability.

Should it be used in these cases? Probably not. But given that you have to have 15k+ to protect a question, it's not like that functionality is going to be abused very often. Moreover, if someone is having a problem, they can always get in touch with a mod (by flagging, or e-mail) so they can make the call.

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Could we please allow them to be closed, instead?

I've encountered several examples of poor questions whose authors have prevented closure via a bounty. If five people vote to close, in my opinion, it should close and the bounty should be returned to the author.

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Flag them for moderator attention. The bounty can be refunded and then the post can be closed. – ChrisF May 10 '11 at 21:45
@ChrisF isn't that placing an unnecessary burden on moderators? – dlamblin Nov 21 '11 at 5:24
@dlamblin - if people are abusing the bounty system to stop questions being closed then no it's not a burden. – ChrisF Nov 21 '11 at 9:03
@ChrisF it's not abuse if it's unintentional, mistaken, or totally unknown. Basically there's bad questions out there that don't get closed before they can get a bounty put on them. The person asking doesn't know he has asked poorly and desperately wants answers. Yet the question doesn't change. Why should it no longer be able to be closed just because someone put a bounty on it? It's still a bad question right? – dlamblin Nov 22 '11 at 6:03

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