I found in a different thread I posted (here: Thread) that I could configure groups to be automatically set to prevent deletion much the same way as Organisation Units can. By implementing the setting for groups, would it affect any distribution groups created and/or used by Exchange? And, to be more specific, how would it affect Exchange groups in a domain with Windows Server 2008/2008 R2 DCs and Exchange 2010?

Exchange groups are all Windows groups. Any change that affects Windows groups would affect Exchange groups in the same manner. If this change keeps Windows groups from being deleted, it will do the same to Exchange groups.