User Configuration > Administrative Templates > Microsoft Visio 2016 > Visio Options > Advanced > Editing Options
User
HKCU\software\policies\microsoft\office\16.0\visio\application
This policy setting turns off smart delete behavior of connectors when deleting shapes. If you enable this policy setting, connectors are not deleted when shapes are deleted. If you disable or do not configure this policy setting, connectors are deleted when shapes are deleted.