Well, that was interesting. I just ran up2date to update policy/policy-sources from 1.9.2-5 to 1.9.2-9 and policycoreutils from 1.9.1-1 to 1.9.2-1 and up2date said everything went OK. Trusting person that I am I did a "rpm -qa polic*" and what I got was:
policy-1.9.2-9 policycoreutils-1.9.2-1 policy-sources-1.9.2-9 policy-sources-1.9.2-5
Well, it did not delete without installing ... but it did not delete after installing.
Try rpm -qa --last to see when/where this happened.