Keeping it open with a warning about if you clicked the link would at least have the possibility of giving some people a warning that they may have been compromised.
Sometimes, after makiing comment on a thread and later the thread gets deleted, I might not remember the exact tittle of that thread and might not even remember the name of the OP, because if I remember OP's username, I can search for the deleted thread on "scrappost website." This might not happen to only me but to some people too, therefore I agree and suggest that instead of the thread with the malware link being completely deleted with comment, let the original post be deleted and replaced with a bold warning telling people that, "this thread contained a malware link, take precautions if you clicked on the link! "