This question came up during the beta test, and there was some discussion, but I'm not sure how the developers decided to resolve it (or if it's still being discussed). As it stood at the last beta version, one or more of the wonders could be destroyed without penalty, one or more could not be destroyed, and some gave adjacency bonuses that you'd have to give up if you destroyed it.  Since I'm still at work (don't tell my boss) I haven't had a chance to get today's released version to see if it's still the same.

Ok, thanks, but that sounds as if it's not ultimately decided ...

Hm, if nothing else a galactic wonder should at least give a considerable permanent morale boost and the destruction of such a grandiose building should give an even greater permanent morale penalty. What would the Americans say if the government decided to raze the Statue of Liberty to build some AAA shopping mall