It seems to me that the rationale for this is as follows. The only photos that are backed up are those in the Camera Roll. If you create a new folder and add a photo to it, it's only a link that has been created (like a playlist in the iPod) and deleting the new folder won't delete the photo in the Camera Roll. Similarly, if you sync additional folders of photos to your iPhone from your computer, by definition these photos are held on both the iPhone and the computer, so accidentally deleting the folder on the iPhone doesn't delete them from the computer - you still have the originals there.
So this system provides pretty good security against accidentally and permanently deleting a photo from one of the additional folders. Only if you delete it from the Camera Roll have you really lost it, unless of course you did a back up that includes the photo in question.