Delete both of them.

Not exactly. The only way to delete Threads is to delete Instagram.

From the article: Meta’s supplemental privacy policy states, “You may deactivate your Threads profile at any time, but your Threads profile can only be deleted by deleting your Instagram account.”

I interpret it as that you can’t delete your Threads profile, unless you delete your Instagram account. So it’s not as if you try to delete your Threads account and oopsie your Insta is gone as well… same, but still different.

I don’t see the problem.