Would it be possible to either have winbox ask when deleting an interface, I have on occasion hit delete instead of disable or have a mode where changes were not made "live" until a commit button was pressed.

There's a so called Safe Mode in RouterOS. Not exactly what you described, but solves the same problem. Check this wiki page out for details (the page describes how to activate Safe Mode from console, but there's also a "Safe Mode" button in WinBox).

Not sure safe mode would have done anything as It was an L2TP I accidentally deleted instead of disabled and I wasn't coming in over that interface so it wouldn't have caused a disconnect

There is also a "undo" and "redo" button in winbox.

There is also a "undo" and "redo" button in winbox.

I'm ashamed to say I'd not noticed that.