Mods can - and do - delete threads as well as lock them.
Admins have even greater powers - too terrible to mention, quake in your very boots sort of stuff.
And yes, you are correct that if the OP (or a mod) soft-deletes the first post, then the thread disappears - and the OP can only soft-delete. Of course, mods can resurrect a soft-deleted thread / post.
Hard delete is total bye-bye, which can be done by mods if required - though very rarely. Spam sometimes gets that treatment.
SD