A CA DADS Plus Batch interface job ends with a zero return code but the file in question was not closed. Batch job issued message DADBI020 REQUEST QUEUED FOR THE APPLID. The second step in the batch job fails when the job step attempts to delete the VSAM cluster that is still allocated to CICS.
This is a timing issue. The batch interface job ran at the same exact time that CICS was shut down and the batch interface was terminated. Since it took CICS 12 seconds to end after the batch interface was stopped the files were still allocated to CICS.
The solution here is to not schedule any batch jobs to get invoked at the same time CICS is shutting down.