What happens to Webform data when a component is deleted? Can I change a component type?
When a Webform component is deleted, the submitted data for that component are deleted.  The data for the form's other components are preserved.  I've confirmed these by querying the webform_submitted_data MySQL table on Webform 7.x-3.23.

As user calebtr indicated, there's a "Private" checkbox for each component that can be used as an ersatz delete-but-save-the-data feature, except that logged-in users with the privilege to read results will still see the component on the form (not only in the results).  These fields could be hidden using a stylesheet or custom template, potentially after corralling them into a private fieldset.

The Webform UI does not allow the changing of component type.  I see this information stored in webform_component.fieldset, so you could probably modify it there.  You'd also want to update the component settings in the "extra" column.