I'd suspect that SlickEdit's current directory is in the directory you're trying to modify/delete, which would hold it open. You can type in "pwd" at the SlickEdit command line to see if that's the case. (and you can "cd somedir" to change it).
There are a few settings relating to where the current directory will be and when it will be changed, so it's hard to make a general statement, but that seems to be the only thing I've seen holding the directory when trying it out on windows. Otherwise, once I close a buffer, the directory does not stay locked.