Just to strengthen the point, you should always have a backup of ALL files, and your database. Things can do wrong, and if they do, it'd be terrible to lose all your content.
After *this* experience, point well taken. The only real plus to this situation is that this happened to a new site that didn't yet have any real content. I just had to reconfigure everything.
How do you manage to make a file only deletable?
Now I am wishing that I had taken a screenshot. Using FileZilla to access the server, it showed the permissions for that file as a five digit number. I don't remember all of the numbers, but it was something like this: 012xx. The "x" digits are the numbers that I don't recall.
For me this was a really weird situation. I could not download the file (which included 'view/edit'), rename it, or change it's permissions. According to FZ none of the permissions check boxes were checked. I did not try to move the file. But when I hit the delete button the file went bye-bye. I had to do something because the site was down because of it. The moment I deleted the file site was functioning again and WP prompted to create a new
wp-config.php file. At this point reconfiguring commenced...