You'll probably need to first associate it with a package so you don't get an error when it's loading. This is the policy to distribute the package, not the package.
Why did you remove the package? This is in an error state and it may be arguing with you because of that.
Alternatively, it may be read-only. Export the XML for the policy (right-click / export) and see if it's read only. Look at one you created that has a delete option, and change them to match. Thinking more about this, that's actually most likely the problem.
Good luck!