Can I tell Gnus not to delete the mails on the server it retrieves via POP3?
First of all, that's not the way POP3 is intended to work, if you have the possibility, you should use the IMAP Protocol if you want your messages to stay on the server. Nevertheless there might be situations where you need the feature, but sadly Gnus itself has no predefined functionality to do so.
However this is Gnus county so there are possibilities to achieve what you want. The easiest way is to get an external program which retrieves copies of the mail and stores them on disk, so Gnus can read it from there. On Unix systems you could use, e.g., fetchmail for this, on MS Windows you can use Hamster, an excellent local news and mail server.
The other solution would be, to replace the method Gnus uses to get mail from POP3 servers by one which is capable of leaving the mail on the server. If you use XEmacs, get the package mail-lib, it includes an enhanced pop3.el, look in the file, there's documentation on how to tell Gnus to use it and not to delete the retrieved mail. For GNU Emacs look for the file epop3.el which can do the same (If you know the home of this file, please send me an e-mail). You can also tell Gnus to use an external program (e.g., fetchmail) to fetch your mail, see the info node "Mail Source Specifiers" in the Gnus manual on how to do it.