pkg_delete runs in perl, your operating shell should not effect it. However, if this was the root user, and not your personal userid, please be advised that you should always leave root's shell as one of the built-in shells, and never use a third party shell for that account.
We're not going to be able to help you with your failed pkg_delete without an actual problem report -- please refer to the "perfect newbie" thread we've sent you to some half a dozen times or so.
You did not need to delete your packages.
# pkg_add -iu was all that was needed to upgrade any installed packages with newer signatures residing at your $PKG_PATH.