The simple answer is yes, if you delete an email account you will lose the messages in it. For starters, the account and its folders disappear from sight when it's deleted.

Move anything you want to keep into Thunderbird's Local Folders account. It's tedious, but I'd advise you to move messages rather than folders. There have been reports that appear to indicate that a folder can be moved, yet retain its logical link to the original account, so is not safeguarded. Create a new folder under Local Folders, then move or copy the messages into it. Select All, right-click, Move To is more reliable than big drag-and-drop operations.