When I'm downloading a file in Windows, it won't let me move the file or rename it. Sometimes I want to be able to move it, for exactly the same reasons I want to move ordinary files. In this case, I realised there was a better place to put it.
Ideally, it would let me move the file, and it'd be smart enough to update the file contents there. I'm not saying it would be a click of the fingers to implement, but it's certainly technically possible to implement an OS that works like this.
When you think about it, this limitation is simply an inconsistency (of the sort that might confuse people who aren't computer literate) arising from a technical detail, and I think these are the sorts of things we should be trying to eliminate.
A similar thing goes for files that are open in editors. In this case, you might want the OS to notify you that it is currently open, and confirm that you want to go ahead with the operation. The editor would be notified of the change, and adjust things accordingly.