Thanks to a tweet from @MSManageability, I finally know how to prevent losing a VHD with VMM2008 R2. If you choose to delete a VHD from an existing VM it actually deletes it.
J. C Hornbeck pointed me to a hotfix (KB976246) which addresses this problem.
When I looked for a download the KB article led me to Windows Update. It appeared the hotfix had already been installed during the last update.
With the hotfix in place VMM now asks: