Ok, I've just checked this, and what you think is a bug is in fact the way it is intended to be.
ISPConfig does not automatically delete DNS records if you delete Co-Domains because DNS records are something very important that only the admin should be able to delete in the DNS-Manager.
Imagine you have an MX record mail.example.com that you also have as a Co-Domain. Now you delete mail.example.com from the Co-domains tab because you do not want to use it for web sites any longer. If ISPConfig also deleted the MX record, then you wouldn't be able to receive emails anymore!