I think this does what you are looking for (more efficiently)
SELECT disticnt PolicyNumber
FROM tblClassCodesPlazaCommercial
where not exist ( select 1
from tblClassCodesPlazaCommercial
where ClassCode NOT IN (@ClassCode) )
Original code
SELECT PolicyNumber
FROM tblClassCodesPlazaCommercial
GROUP BY PolicyNumber
HAVING COUNT (CASE WHEN ClassCode NOT IN (@ClassCode) THEN 1 END) = 0