I couldn't reproduce this issue, I found that the volumes were correctly detached for the local delete.

$ git rev-parse HEAD
edf51119fa59ff8a3337abb9107a06fa33d3c68f

$ nova boot --flavor m1.nano --block-device source=image,id=59f7eeb3-700a-456f-8d3f-9dfc4cce797b,dest=volume,size=1,shutdown=remove,bootindex=0 --poll hi

+--------------------------------------+-------------------------------------------------+
| Property                             | Value                                           |
+--------------------------------------+-------------------------------------------------+
| OS-DCF:diskConfig                    | MANUAL                                          |
| OS-EXT-AZ:availability_zone          |                                                 |
| OS-EXT-SRV-ATTR:host                 | -                                               |
| OS-EXT-SRV-ATTR:hostname             | hi                                              |
| OS-EXT-SRV-ATTR:hypervisor_hostname  | -                                               |
| OS-EXT-SRV-ATTR:instance_name        |                                                 |
| OS-EXT-SRV-ATTR:kernel_id            |                                                 |
| OS-EXT-SRV-ATTR:launch_index         | 0                                               |
| OS-EXT-SRV-ATTR:ramdisk_id           |                                                 |
| OS-EXT-SRV-ATTR:reservation_id       | r-nk9ygaf0                                      |
| OS-EXT-SRV-ATTR:root_device_name     | -                                               |
| OS-EXT-SRV-ATTR:user_data            | -                                               |
| OS-EXT-STS:power_state               | 0                                               |
| OS-EXT-STS:task_state                | scheduling                                      |
| OS-EXT-STS:vm_state                  | building                                        |
| OS-SRV-USG:launched_at               | -                                               |
| OS-SRV-USG:terminated_at             | -                                               |
| accessIPv4                           |                                                 |
| accessIPv6                           |                                                 |
| adminPass                            | aiGbhNhGC7nB                                    |
| config_drive                         |                                                 |
| created                              | 2017-03-15T04:27:47Z                            |
| description                          | -                                               |
| flavor                               | m1.nano (42)                                    |
| hostId                               |                                                 |
| host_status                          |                                                 |
| id                                   | 957b1fa8-0b9c-483d-a049-499cd4545188            |
| image                                | Attempt to boot from volume - no image supplied |
| key_name                             | -                                               |
| locked                               | False                                           |
| metadata                             | {}                                              |
| name                                 | hi                                              |
| os-extended-volumes:volumes_attached | []                                              |
| progress                             | 0                                               |
| security_groups                      | default                                         |
| status                               | BUILD                                           |
| tags                                 | []                                              |
| tenant_id                            | 1dc696f01a67429a88a20273b5e52e10                |
| updated                              | 2017-03-15T04:27:46Z                            |
| user_id                              | 488ae3ccfbba4655b201fa7c8fbb2686                |
+--------------------------------------+-------------------------------------------------+

Server building... 100% complete
Finished


$ nova service-list

+----+------------------+---------------+----------+---------+-------+----------------------------+-----------------+
| Id | Binary           | Host          | Zone     | Status  | State | Updated_at                 | Disabled Reason |
+----+------------------+---------------+----------+---------+-------+----------------------------+-----------------+
| 7  | nova-conductor   | ubuntu-xenial | internal | enabled | up    | 2017-03-15T04:29:35.000000 | -               |
| 10 | nova-scheduler   | ubuntu-xenial | internal | enabled | up    | 2017-03-15T04:29:33.000000 | -               |
| 11 | nova-consoleauth | ubuntu-xenial | internal | enabled | up    | 2017-03-15T04:29:40.000000 | -               |
| 12 | nova-compute     | ubuntu-xenial | nova     | enabled | down  | 2017-03-15T04:28:32.000000 | -               |
+----+------------------+---------------+----------+---------+-------+----------------------------+-----------------+

$ nova list

+--------------------------------------+------+--------+------------+-------------+---------------------------------+
| ID                                   | Name | Status | Task State | Power State | Networks                        |
+--------------------------------------+------+--------+------------+-------------+---------------------------------+
| 957b1fa8-0b9c-483d-a049-499cd4545188 | hi   | ACTIVE | -          | Running     | public=2001:db8::5, 172.24.4.10 |
+--------------------------------------+------+--------+------------+-------------+---------------------------------+

$ nova delete hi
Request to delete server hi has been accepted.

$ nova list
+----+------+--------+------------+-------------+----------+
| ID | Name | Status | Task State | Power State | Networks |
+----+------+--------+------------+-------------+----------+
+----+------+--------+------------+-------------+----------+

$ cinder list
+----+--------+------+------+-------------+----------+-------------+
| ID | Status | Name | Size | Volume Type | Bootable | Attached to |
+----+--------+------+------+-------------+----------+-------------+
+----+--------+------+------+-------------+----------+-------------+