On that subject I sort of wonder if something was hidden from the audience between the time when Dick exploded and when Dean and Cas were sent to Purgatory- sort of in the way Cas kept off screen from us when Sam returned at the end of season 5. If you watch it closely, all that happens is Dick explodes all over Dean and Cas. While I did like the "pulsing" effects of Roman's death, it seems to me that it would have made more sense for him to have exploded and then quickly imploded (sort of like the head fairy did in season 6 where he was sucked in somewhere) so as to explain Cas and Dean being sucked into/sent to purgatory.
Awesome questions. They're ones I've been wondering for years now and hopefully sending Dean and Cas to Purgatory will finally help answer some of them. Cas did say they'd be torn to shreds, but he didn't say anything about dying. I guess it depends how similar or different Purgatory is to Heaven and Hell. It seems to me that in Hell one's soul can't die because it kind of flies in the face of the whole "eternity of damnation" thing. However, when it comes to Heaven, I think there is some grey area. We know from season 6 where Castiel used Bobby's soul as an energy source, and from Castiel's use of Crowley's 50,000 souls, that souls are made up of energy- energy that can, at the very least, be harnessed by angels. Since the power of those ruling Heaven and Hell seems to be determined by how many souls are in one another, it raises the question of what happens to those souls when they are harnessed for said energy.
Anyways, since we know nothing about the nature of Purgatory, save for the fact that like demons in Hell, no one there seems to really like it much, it's hard to speculate.
As far as angels go, do they even have souls to begin with? It's another great question. If God created Leviathan with souls, and humans with souls after he created angels, one could argue that it stands to reason that angels would have souls of a sort as well.