I agree, you cannot save or delete the mxd because it is opened. You stated they are all opened. I imagine you are running this from the python window within an arcMap session. In this case the session thinks those files are opened, they are not the current document. If you want to save the current document, then you have to locate the save command object, but it will only save the current document.
As James suggested, you could use a saveAs, and then use an OS command to force ArcMap windows to close. It is not clean.