Yes, deleting posts will lead to orphaned answers and comments. These shouldn't do any harm though, since they're already not in the index used for searches. Still I haven't tested this properly, so caution is recommended!
You could of course also create a query which deletes the orphaned answers and comments, by looking for posts with type=A or C and which can't be JOINed to another post via their parentid. Be sure to check the type because the parentid of posts with type=Q has a different meaning.