This is deliberate behavior on the part of the system, speaking on the general point.
There's two component messages here. The first is, when clicking delete, you're always given a warning about what you're about to delete. The purpose of this message is to help ensure you understand why deletion is typically not recommended. It also is context sensitive, noting answered versus unanswered but also warns users who may risk a post ban afterwards (or currently have one). Two things generally result from this - the user understands that deletion isn't needed and stops there, or the user confirms the necessity for deletion and continues on.
However, as you note, we restrict most answered question deletions - a question that has only received a single, unvoted answer can be deleted without requiring moderator intervention. Any other one, then results in the second message, noting that a moderator is needed to perform the act. That way, when it's appropriate to go through with deletion, the user is provided a means to do so.
We use a double message because it works out. The first one doubles as both a warning and a confirmation dialog. If we only provided the second message, users would just immediately go on to flag for moderator attention without considering the weight of the deletion. It's an extra enough step that helps reduce excess workload as well as reducing the number of more abusive deletion actions.
Note that in the case of on-hold/closure, as there's relevance to this particular incident (but I'm not speaking on the merits of the exact example question here). Closure as a whole was created to both gate and permit deletion. It marks stuff that users don't believe belongs on the site, but also provides ample opportunity to salvage a question into a state where it can remain. But the eventual destination of any closed question is not to remain closed, it'll either get reopened or deleted - there's no major need to hasten the latter, especially when there can be chances for the former.