When there is a sub grid placed into the main form of the Case entity, and related child records are enabled to be displayed, it is expected to have an option or a new feature that would prevent Child Case to be deleted when you delete its Parent Case.
When creating a new related case from the parent record, the Child Case gets deleted when its Parent is deleted, due to the behavior as follows.

Title: Multiple relationships between the same entity cause multiple lookups to be populated in Microsoft Dynamics CRM
URL: https://support.microsoft.com/en-us/kb/kbview/946599