I suspect Amex has a contractual agreement with Delta to be able to claw back the points in the case of an early account closure, or more specifically, get back whatever cash was paid to Delta to buy the miles. In the event that the miles have been spent and there aren't others to compensate, then this would put the SkyMiles account into the negative. What DL does at that point is up to them. They certainly could cancel ticketed awards for lack of payment, in the same way that they would if they got a credit card chargeback. Whether they have the procedures and policies in place to actually do that is another matter, but it wouldn't be based on what Amex thinks should be done.