Prevent the ability to delete the location being synced in explorer until syncing has stopped.
When a user selects the location they are syncing in the explorer navigation pane they should not be able to delete this folder or selecting delete should automatically stop the sync and then remove the folder. Currently pressing delete prompts them that the folder will be permanently removed from their computer but doesn't let them know that the Onedrive sync client will go-ahead and delete all the contents of that folder in SharePoint as well.
Malgorzata SITS commented
Totally agree - we're having massive problems with users who accidentally remove whole libraries by drag-and-drop or simply not knowing that they have to stop sync before they eg. reinstall system.
Another way, maybe less restrictive, could be disabling possiblity to delete more than a specific amount of files at once, e.g. 500