> This error message also appears when you focus into the speedbar-window and press "Q" (which calls
> delete-frame).

This is not a bug, since there is only one frame, and Emacs doesn't
allow to delete such a frame.

So if I open Emacs, C-x 5 2 to create a new Frame, M-x speedbar-window and therein press Q I would not assume to close this the whole frame.

Q is from a time when there was just one speedbar-frame.