Current denyhosts is configured to use /run/denyhosts as runtime dir.
Problem is that service file is setup with:

RuntimeDirectoryPreserve=restart

And then comands fail when service is stopped, because runtime dir is removed:

pandora:/lib/systemd/system# ps -ef | grep deny
root        5086       1  0 00:58 ?        00:00:00 /usr/bin/python3 -s /usr/bin/denyhosts.py --daemon --config=/etc/denyhosts.conf
root        5088    4620  0 00:58 pts/0    00:00:00 grep deny
pandora:/lib/systemd/system# denyhosts.py --purge-all
DenyHosts could not obtain lock (pid: 5086)
[Errno 17] File exists: '/run/denyhosts/denyhosts.pid'
pandora:/lib/systemd/system# systemctl stop denyhosts
pandora:/lib/systemd/system# denyhosts.py --purge-all
DenyHosts could not obtain lock (pid: )
[Errno 2] No such file or directory: '/run/denyhosts/denyhosts.pid'

Runtime dir (also it is installed in rpm file) should be preserved,
even after stop:

RuntimeDirectoryPreserve=yes

And also packages seems to include a PID file that perhaps should not
be there:

pandora:/lib/systemd/system# rpm -ql denyhosts | grep run
/run/denyhosts
/run/denyhosts/denyhosts.pid