Does Phantom Flock still prevent damage if it has no counters left?
The damage is still prevented.

The Gatherer rulings even mention this:


  The damage prevention ability works even if it has no counters, as long as some effect keeps its toughness above zero.


This happens because whenever you can't do everything a card says to do, you do as much as you can. (As the rules, say, "609.3. If an effect attempts to do something impossible, it does only as much as possible.") The card says to prevent the damage, so it's prevented. It also says to remove a +1/+1 counter, and there's not, so you don't remove one. Oh well. This is the same reason that if something says sacrifice three creatures, and you only have one, you still sacrifice that one.

If instead the card said "If damage would be dealt to Phantom Flock, remove a +1/+1 counter from Phantom Flock. If you do, prevent that damage." you would be able to kill it with damage once the counters were gone.