I get the same behavior. Even when the model options are set to "never drop from the model" the OT is still deleted. Further, it does it for any object type (value or entity).

It seems to behave as expected if there is a second copy of the predicate on the page. So, as a workaround, you could drag out a second copy of the fact, then delete the OT you want gone (answering no to the prompt). The OT and predicates will disappear but the OT will remain in the model.

Ugh...

Scot.