it only deletes the sketch when you use it on the first, main tab.
But you are right, i never did that, but have to admit, that i would expect it to only delete this tab, but not the whole sketch folder with all the data, etc.

Advice 1: Do backups!
Advice 2: Use a VCS!
Now, this might not work if working on a fresh new sketch. So...
Advice 3: Do experiments on dummy sketches! ;-)

As Homer Simpson would say "Doh!".

Take my advices with a gain of salt, as it is easier said that done. Even more after the act...
But still, again, I advice everybody doing some serious Processing development (or other coding) to look at VCSes, like Bazaar, Mercurial or Git, or even SVN. It is a very valuable tool, allowing to preserve history of code (go back if an experiment is a failure...), to share easily on the Net if you wish, etc.

Last note: check if Mac has recovery tools: sometime it is possible to restore a deleted file (if its space haven't been recycled...).