In other words if you destroy your research stations every research you done will go bye bye

As far as I know the only effect of losing research stations is that you cannot build structures and ships that are dependent on the research.  I don't think you can fire Level 8 superweapons either (the sailors manning the super weapons just "forget" where the big red fire buttons are located at), though this is really only an issue for the TEC since it doesn't make sense to build the "super" weapons for the other two races.

For example, if you are Advent and you have a total of 3 Weapons Labs up and you've already researched Illuminators, if you scuttle one of the weapons labs (or if one gets destroyed) leaving you with 2 weapons labs then you can no longer build Illuminators until you have 3 weapons labs again.

You also have the benefit that for each research station you build, corresponding ship and structure construction speed is affect also. If only by a small ammount per station, it all adds up.

I also like the Advent cannon.  With the correct research, if you keep a steady stream of fire against an enemy planet you can cause the population to rebel (loyalty drops to 0) and the enemy loses the planet.  With a strong enough culture and good use of Advent cannons, you can even win the game without sending your ships outside your own territory.  Of course, that's not quite as much fun as nuking the universe, but it does bring some variety!