Default theme - What is it and why can't I delete it
From Online Manual
The "Default" theme is not, actually, the "default" theme. Whilst SMF starts out with it as the base theme, the "Default" theme is only a collection of the default templates. These templates are "fallbacks". If a custom theme doesn't contain some required files, the software will use the corresponding files from the default theme's directory.
So, the reason that you can't delete the default theme, is that all of your other themes will rely on files that are contained within the default theme's directory. If you delete those, none of your other themes will work.
It is similar to URLs - if the base domain name isn't specified, (in example, just /style.css) it uses the default (making the URL, www.simplemachines.org/style.css). In this case, it works a bit different, but the concept is similar.