You can Delete a folder by clicking on the actions menu for the folder you wish to delete and click on Delete
Deleting a folder never deletes the chats inside it. Instead, its contents are moved up to the parent folder (or to All chats, if the folder was at the top level).
The confirmation dialog tells you what will happen to the contents before you confirm.
Your chats are safe. Deleting a folder re-files its contents; it never bulk-deletes chats.