A taxonomy-provider module: enable/disable vs install/uninstall
There is at least one core module that creates a vocabulary that we can use as a guide: Forum. 

It creates the vocabulary "Forums" in hook_enable() (see form_enable() function).

It does not remove the vocabulary in hook_disable() or hook_uninstall(). (see forum_uninstall() function - Forum does not have a hook_disable() function.

So, to answer your question, create the vocabulary in hook_enable() and don't delete it.

One other note gleaned from the forum.install file that is probably relevant to your module is that you need to make sure your module is loaded after the Taxonomy module. You can do so by settings the module's weight to 1.