I was wondering if "close as duplicate" deletes the question completely, or if it keeps it there with the comments saying "duplicate of XYZ"?
(I've been skipping those questions in the review queue, to be safe.)
It puts a big label at the top of the post that basically says "This question already has an answer HERE" where "HERE" is a link to the "original" post. It doesn't get deleted. Like with all closed questions they are (normally) not deleted. They remain on the site as long as they have at least one net upvote or an answer with at least one net upvote.
Duplicates are important because it points people with different phrasings to the central place where they will find their answer - even if they used different keywords.
When reviewing please remember that they are supposed to be exact duplicates. Not similar questions, but questions where the answers should be identical.
Closed questions can be reopened. The first edit from the OP after the question is closed automatically sends a question to the reopen review queue, or someone with enough reputation can click on the "reopen" link under the closed question to send it their.
The comments that say "possible duplicate" are deleted when the question is closed. That also applies to other comments that contain this phrase. Such a comment is automatically created when someone clicks on the "close as duplicate" close reason. These served their purpose and are therefore deleted. All other comments follow the normal comment rules and are not automatically deleted when the question gets closed.