> So reliable storage still doesn't exist

Correct; the user or user-agent can always delete data, just like in desktop or mobile apps. The only truly reliable storage is on your servers.

> and there no way to interact with user saying "hey, if you delete this data you will lose [you unsent e-mail, game progress, etc]" in a manner desktop application does.

Well, that's the role of the user agent, I would think.