Try issuing the following operator command D 
SMS,PDSE1,CONNECTIONS,DSN(SYS1.SIEALNKE) to see which address spaces are 
connected to it. I received the same error on a delete of a PDSE and it was 
being held by an Initiator. 
see http://www-01.ibm.com/support/docview.wss?uid=isg3T1012811

If possible, stop the Address Spaces. Also issue the command with just PDSE.  D 
SMS,PDSE,CONNECTIONS,DSN(SYS1.SIEALNKE). On my system, the linklsted PDSE 
displays from syslog are below. Being connected to *MASTER* is the probably the 
reason you cannot delete an IPL-time LNKLST PDSE.

D SMS,PDSE1,CONNECTIONS,DSN(SYS1.SIEALNKE)      
                    
IEF196I IEF237I 5110 ALLOCATED TO SYS00247                          
IEF196I IEF285I   SYS17173.T091258.RA000.MSTJCL00.R0113017     KEPT 
IEF196I IEF285I   VOL SER NOS= M22RS1.                              
IGW051I PDSE CONNECTIONS Start of Report(SMSPDSE1)                
---------data set name---------------------- -----vsgt-------       
SYS1.SIEALNKE                                01-M22RS1-00010D       
--asid-- --name-- --tcb--- -open-                                   
  001F   LLA      007F8680 Input                                    
PDSE CONNECTIONS End of Report(SMSPDSE1)   

D SMS,PDSE,CONNECTIONS,DSN(SYS1.SIEALNKE)              

IGW051I PDSE CONNECTIONS Start of Report(SMSPDSE )  
 IEF196I IEF237I 5110 ALLOCATED TO SYS00248                           
 IEF196I IEF285I   SYS17173.T091319.RA000.MSTJCL00.R0113108     KEPT  
 IEF196I IEF285I   VOL SER NOS= M22RS1.                                       
---------data set name---------------------- -----vsgt-------   
SYS1.SIEALNKE                                01-M22RS1-00010D   
--asid-- --name-- --tcb--- -open-                               
  0001   *MASTER* FFFFFFFF Input                                
PDSE CONNECTIONS End of Report(SMSPDSE )                        


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