Set the HISTCONTROLvariable. If it is set to ignorespace then commands entered with a leading-space will not be stored in the history.

Type a space before rm to prevent it from being added to your history to be a extra careful.

I very much understand how one can think this would revert any changes done to files under version control but not delete the ones that are not. I believe this dialog has since been updated to explicitly state that fact.