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... INSERT works fine with my previous query, ...
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Analogy is a good starting point to study new things.
But, it would not give you an accurate conclusion.
You can't use common-table-expression in a DELETE statement.
See
Syntax of DELETE statement in Information Center
DELETE - IBM DB2 9.7 for Linux, UNIX, and Windows
Anyhow, what result do you want to get by using common-table-expression?
Unless you want to use recursive-cte, you may get the intermittent result table without using cte.