I just did a quick test on this with 14.3 and wasn't able to reproduce this on that description alone - am I missing any crucial step or getting any slightly wrong? If not, then what is the exact patch and version number you were getting this with please:
1. Create new custom object
2. Edit the default page layout of your custom object and add a new tab, put the DHL portlet on it.
3. Create new custom subobject with first object as parent
4. Create 3 instances of master object
5. Create subobject instances under first master instance.
6. Create subobject instances under third master instance.
7. Create favorite entries for the first and second master instance property views.
8. Delete the first master instance.
9. In the third instance, navigate to any subobject instance properties and then click Save and Return.
10. Delete the second master instance.
11. In the third instance, navigate to any subobject instance properties and then click Save and Return.
After steps 9 and 11 I was hoping to reproduce your issue but it didn't. Would you mind clarifying? If this can be reproduced in current versions (i.e. it hasn't yet been fixed) I would want to get this reported. If it cannot be reproduced on current versions, I'd like to be able to figure out when/where it was fixed.
Thanks.