Database events that will cause deletion of index
No. To my knowledge, changing a column that is included in an index is not possible (you'll get an error message to that effect). You would have to drop the index before changing the column, and then re-apply the index again. The only exception to this that I am aware of is that you can change a column from NOT NULL to NULL without having to drop the index (but not the other way around).

However, if you use SSMS to change a table, SSMS may drop and re-create the index for you, but it shouldn't drop the index either way.

On a side note, if you have an indexed view, modifying the view till drop any indexes on the view.