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