I still didn't find anywhere a reason for this (ok, didn't search that hard), but I guess that this might be related to anything created inside a testing session being cleaned after execution. Of course, for input stuff, this is a headache.

So far my best way to block that was by explicitly denying permissions to delete under Windows security properties tab. You must deny it on the directory, not on the file itself. I have denied it to Everyone, but, denying it only for your own user might have the same effect.