As it happens, I remember what Eugine_Nier wrote, and I am certain it did not meet the local criteria for mod-blocking.

Interesting. This suggests that a feature has changed at some point since the retraction-then-delete feature was first implemented. (I have memories of needing to be careful to edit the text to blank then retract so as to best emulate the missing 'delete' feature.)

I notice that I am confused. Investigates.

• Testing deletion feature. Deletion of (grandparent) comment that you have already replied to: Fail. It is still not (usually) possible to delete comments with replies.
• Check for moderator deletion. (ie. Moderator use of the ban feature, actual delete per se is extremely rare). Confirm absence of a reply on Eugine_Nier's page that fits that part of history. The comment is, indeed, deleted not banned.
• Check timestamps for plausibility of race condition. Ahh. Yes. Tim, you replied to Eugine within 3 minutes of him writing the comment. This means that most likely Eugine deleted his message while you were writing your reply. Your comment was still permitted to be made despite the deleted parent. The reverse order may also be possible, depending on the details of implementation. Either way, the principle is the same.