Unfortunately, whichever side you pick in the civil war, the other side's generals/captains/whoever is in charge of the camps can't be killed. Someone didn't set the flag to make them killable after the war ends.
If you're on pc, there is a mod that fixes that.
Thanks Tataran. I thought I was going nuts: I ploughed 50 arrows into the guy and then hacked him with my Dawnbreaker but he lives on ... forever. Actually, I was surprised to find an Imperial camp still existing but I suppose they're all over Skyrim.