We're nearly there. Changing the setting does allow the PostScript file to be kept when exporting as a PDF now.
Unfortunately, saying you don't want to keep the PostScript file will cause a previously built one to be deleted.
In other words, if it isn't set to keep PostScript files and you build a PostScript file
then a PDF one (from the same man file), you lose the PostScript file.
If you build the PDF file
first, you don't have this issue, of course.
Bill Gates would call this a feature, not a bug.
Warning about this in the settings would be the easiest workaround.