Good question. As much as I am aware, nobody has ever brought this up.
We have only fairly recently started to use redirect badges (mostly via my User:MsynBot), and DeltaBot/PLbot have for quite some time not edited badges since this job was in a broken condition—I actually repaired it on October 12th when this edit in question was made.
Technically it would be possible to extend the bot script in a way that these situations are handled differently, i.e. the badge would not be removed from a redirect sitelink if the redirect target carries the corresponding badge. However, I think this should be discussed with the community (via WD:PC). Can you please start a discussion over there?