You could destroy it, certainly. The key point the PCs need to realize, however, is that the Ghostlord might not realize it. Even if his phylactery is destroyed, if he believes it is still being held hostage by the Red Hand, he'll commit his ghost troops to the assault on Brindol. The objective is to prevent the horde from getting undead reinforcements.
In order to make sure the Ghostlord doesn't commit, he needs to know one of two things: either that the Red Hand no longer possess his phylactery, or that it has been destroyed. Either way will result in him withdrawing his troops. However, should he learn his precious phylactery has been destroyed, he's likely to fly into a rage, and probably shoot the messenger.
When we played through the Ghostlord chapter in RL, we brought his phylactery to him, but tried to draw out a negotiation, to which he simply responded by attacking us, even though we still possessed his phylactery. Eventually we managed to trap him, and then decided to destroy his trinket right then and there. In the end, he did not support the Red Hand, and we left him trapped and screwed. Later on, he attempted to kill us out of revenge, until we eventually destroyed him once and for all, but that was after the events of RHoD were over.