We will try to fix this. Until we have a release with it corrected, you can avoid the problem by handling grid.Model.ClearingCells and cancel the clearing if your user is trying to delete the checkbox column. You could also display a message there or you could do some special action like setting the checkbox to false in teh handler (to simulate clearing them).
//subscribe
this.gridDataBoundGrid1.Model.ClearingCells += new GridClearingCellsEventHandler(Model_ClearingCells);
//the handler
private void Model_ClearingCells(object sender, GridClearingCellsEventArgs e)
{
if(e.RangeList.AnyRangeIntersects(GridRangeInfo.Col(2)))
e.Handled = true;
}