There have been a few instances of a soul being destroyed in lore, I believe. One off of the top of my head would be Malyn Varen, who trapped himself inside Azura's star, and was destroyed entirely afterwards. In the context of the ES universe, in contrast to the real world, most people can reasonably expect that their soul will persist after death in some plane or another, as there is solid proof to that fact. So, I would reason that the notion that one's soul could simply stop existing would be a bit more alarming to them.