When you hit the "Delete" gallery button, a little window DOES pop up asking, "Are you sure that you want to delete this gallery?"
I just did a test gallery to confirm that this is correct.
And, as I recall, this has been the case with other real galleries that I have deleted.
Maybe you misread "delete" as "edit" in the warning box, and thought that when you hit "proceed", you were proceeding to edit, when you actually were proceeding to delete.
Intentions sometimes override the words that sit right before our eyes.