If there are replies to it - threaded mode would break. (A thread is like a chain - you can't delete something out of the middle or else it would break).
If you delete the replies to it first then you can delete it. But in theory - if it's been replied to - then it's part of the conversation and replies won't make sense without it. So work backwards to delete them. View threaded mode so you can see what's in reply to what.
I have a "remove traces" mod posted here - which reassigns replies to the first post in the thread. It won't make sense in threaded mode LOL but allows you to get rid of posts that have replies.
