There is no setting to disable deleting unused attachments. If you want to disable it, you would need to edit includes/cron/cleanup2.php and find this:
Code:
// Orphaned Attachments are removed after one hour
$attachdata =& datamanager_init('Attachment', $vbulletin, ERRTYPE_SILENT, 'attachment');
$attachdata->set_condition("a.contentid = 0 AND a.dateline < " . (TIMENOW - 3600));
$attachdata->delete(true, false);
either delete it or comment it out (put // at the start of each line). Edit: Of course that won't make the message go away, you'd need to delete that separately.