Greetings,
You should not be able to delete the firewall policy without detaching it from the respective secure hub. I have deployed the similar setup where I have noticed that detaching the policy results in hub deletion. This might not be part of the design. I would suggest you to drop us a mail at azcommunity@microsoft.com for deeper investigation on this issue.
Please do not forget to "Accept the answer" wherever the information provided helps you to help others in the community.