Obviously you can raise complaints if they do not delete your information as the GDPR does not mandate or expect the individual to have to agree to another parties privacy policy to exercise your rights.
You also have rights to access et al and whilst unlikely it's possible failure to act within this law might cause issues later down the line.
I've had companies that breached the regulation, complained to them with no effect, raised it with the ICO, they got back to me, upheld my complaint, reached out to the company and still nothing despite them being based in the UK thus enforcing fines is trivial.
There is nothing preventing this company from getting back to you saying that "for security reasons (or other BS reason) the Discord-based process is the only way to delete your account" and you wouldn't be able to do anything about it because even the relevant authorities don't seem to care.
https://www.enforcementtracker.com/
I'm not sure about how efficient the process is, but there is some enforcement.
At least in Germany, it's okay in some states, essentially non-existant in others. I've reported some serious breaches, and about half of the responses were within 5 days, the other half haven't happened yet, after > 12 months. Reminding them just lead to getting an official case number, so they didn't forget, they just can't/won't enforce.