Sewmyheadon alerted me to this being a non-unique issue as I am having the problem too and yes it is very bad to delete the Default theme.
This is what will happen, WP will search as Otto alluded to for the default and not finding it it will switch to no theme and therefore your site becomes inaccessable e.g nothing gets displayed.
It was quite a shock for me to find my website gone the other day and therefore I would highly recommend NOT deleting the Default theme.
@Otto any idea how long until this gets released as 2.1.3? This is a pretty big deal for many of us, it may not be a security issue but it certainly is critical.