I would like to propose the ability to pin a release.
This would exclude the release from the retention policies and the release could only be deleted manually.

We deliver new releases with either a "-stable" or "-dev" suffix and want to pin all "-stable" releases to not be deleted if we create new "-dev" releases.

The only solution would be to create an intermediate deployment target between "CI" and "Test" with a different retention policy as our customer decides when which version goes into Testing and finally into Production.

See http://help.octopusdeploy.com/discussions/questions/8150-how-to-save-a-release-from-the-retention-policy