Assert the open confirmation dialog is gone and the page is the admin page it was opened from. Kept with the clean-up steps: a dismissed delete leaves the record in place.
Examples
Then the confirmation should be closed
And the confirmation should be closed
Then the confirmation dialog should be closed
And the confirmation dialog should be closed
Then the confirmation should be closed now
Pattern
Then(/^the confirmation(?: dialog)? should be closed(?: now)?$/, …)
Part of @webship-js/magento-steps (github.com/webship/magento-steps), a step pack for Webship-js 2.0.x.