It's not a big deal, since it's easy enough to right click the sketch and delete it after, if desired.
Maybe something like Inventor has.
When you delete the feature, you get a dialogue that asks if you would like to delete the features "dependant sketches" as well. You can select yes, or no.
I like Harold's idea better. It would save a few clicks if you could right click and have both options. "Delete feature" and "Delete feature and dependant sketches".