The correct answers are:

• The fiery volcano erupted with a deafening roar...
• The dark sorcerer obliterated the castle walls...
• The brave knight emerged from the dark cavern...

Vanish and emerge are intransitive verbs; they describe an action the subject does, but they cannot happen to a direct object. (A dragon cannot "vanish" an army; it must obliterate or vaporize it). Collapse is generally intransitive in this context; a shield cannot "collapse" arrows (it would deflect or shatter them). Obliterate is a high-impact transitive verb that perfectly takes the direct object "the castle walls."