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.
That is to say only the entire content of the post get removed along side it replies but the page index is maintained to show warning message should incase a random user visits the link unaware of the potential risks.
Still, ban the OP and everything else, but at least there would be something there that people could see.
-Dave
Ban should be a sure deal and if possible an IP ban such that it will cost more to create a new account for the same malicious activities.