This is because as of, I believe, WordPress 2.2, these files are left behind only for legacy purposes — for people without pretty permalinks. The feed files themselves are located in
wp-includes/ and with pretty permalinks, WordPress goes right to those files.
In fact, WordPress still senses the request for these files, and redirects them to the appropriate feeds even when you’ve deleted these files.
This doesn’t really save much space, but it does weed out a bit of clutter. I also deleted
wp-links-opml.php because I don’t use the links features in WordPress, so it’s useless to me.