You cannot specify target table for delete.
A workaround
create table term_hierarchy_backup (tid int(10)); <- check data type
insert into term_hierarchy_backup
SELECT DISTINCT(th1.tid)
FROM term_hierarchy AS th1
INNER JOIN term_hierarchy AS th2 ON (th1.tid = th2.tid AND th2.parent != 1015)
WHERE th1.parent = 1015;
DELETE FROM term_hierarchy AS th
WHERE th.parent = 1015 AND th.tid IN (select tid from term_hierarchy_backup);