Yea it is kind of in that grey area of bug vs feature request.
Although playing devils advocate you might argue how far do we take warnings when deleting stuff?
It is also just as easy to accidentaly delete a whole event sheet without any warning
It is also just as easy to delete a whole folder full of sprites that are used in events and in layouts without any warning.
actually now Im thining about it these should definitly also have warnings!
but you could also just as easily delete a whole block of events and without any warning.
hmm. over to 
Ashley on this one