Yes, I think the only way for you to stop seeing those threads will be to delete your replies.
SMF is broken in so far as that goes. Some threads you can remove, some you can't... there's a place to unsubscribe to threads (I forget where it's located), but not all your threads show up there.
SMF just sucks in every possible aspect.
The Subscribe/Unsubscribe is for email notifications only. The threads that you press the Subscribe button/link will only appear in the "Show rew replies to your posts" list if you also replied to them.